A quantized, tree-based backward dynamic programming algorithm computes adapted Wasserstein distances with statistical consistency and claimed, but unbenchmarked, parallel speedups.
Causal transport in discrete time and applications.SIAM Journal on Optimization, 27(4):2528–2562, 2017
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Nested Optimal Transport Distances
A quantized, tree-based backward dynamic programming algorithm computes adapted Wasserstein distances with statistical consistency and claimed, but unbenchmarked, parallel speedups.