Siegel der Universität Augsburg

Universität Augsburg
Institut für Mathematik

Siegel der Universität Augsburg

 

Oberseminar Wirtschaftsmathematik

 

M. Sc. Christian Drescher
Universität Augsburg

 
spricht am
 
Montag, 5. Februar 2018
 
um
 
13:00 Uhr
 
im
 
Raum 3008 (L1)
 
über das Thema:
 

»Efficient Computation of the Prokhorov Metric for Discrete Distributions«

Abstract:
On the space of probability measures on a metric Polish space, the Prokhorov metric represents one of the most popular distances between probability distributions. As it is the sole metric equivalent to the weak topology without further assumptions, it is mostly considered from a theoretical point of view. The first and only work regarding the computation of the Prokhorov metric for discrete distributions is by Garel & Massé (2009), utilizing the connection to the Ky Fan metric (Strassen, 1965). In our presentation, we first demonstrate that their approach fails for specific problem instances, before we introduce an alternative fully effective approach. By distinguishing different settings, we are able to provide algorithms with proven correctness, together with their worst case complexities. We conclude with a quasilinear algorithm for the most important case of real numbers with the usual metric. Joint work with Jonas Schwinn and Ralf Werner

 

Hierzu ergeht herzliche Einladung.
Prof. Dr. Ralf Werner



wwwadm@Math.Uni-Augsburg.DE,    Mi 31-Jan-2018 14:35:10 MEZ