kantorovich_CVX: Computes Kantorovich distance with CVX

In stla/kantorovich: Kantorovich Distance Between Probability Measures

Computes Kantorovich distance with CVX

Description

Kantorovich distance using the CVXR package

Usage

kantorovich_CVX(
  mu,
  nu,
  dist,
  solution = FALSE,
  stop_if_fail = TRUE,
  solver = "ECOS",
  ...
)

Arguments

mu	(row margins) probability measure in numeric mode
nu	(column margins) probability measure in numeric mode
dist	matrix defining the distance to be minimized on average
solution	logical; if TRUE the solution is returned in the "solution" attributes of the output
stop_if_fail	logical; if TRUE, an error is returned in the case when no solution is found; if FALSE, the output of psolve is returned with a warning
solver	the CVX solver, passed to psolve
...	other arguments passed to psolve

Examples

x <- c(1.5, 2, -3)
mu <- c(1/7, 2/7, 4/7)
y <- c(4, 3.5, 0, -2)
nu <- c(1/4, 1/4, 1/4, 1/4)
M <- outer(x, y, FUN = function(x, y) abs(x - y))
kantorovich_CVX(mu, nu, dist = M)

stla/kantorovich documentation built on April 26, 2024, 5:19 a.m.