arXiv:2605.17271math.OCcs.LG2026-05

提出可扩展的双因果最优传输方法,解决长期路径生成中的信息约束难题。

Scalable Bi-causal Optimal Transport via KL Relaxation and Policy Gradients

论文配图:Scalable Bi-causal Optimal Transport via KL Relaxation and Policy Gradients
图 1 · 摘自论文原文
  • 用KL惩罚松弛硬性约束,保留问题递归结构
  • 理论证明松弛问题随惩罚增大收敛到原问题
  • 适合需要非前瞻信息约束的金融与时间序列建模

双因果最优传输(bi-causal OT)是处理在非前瞻信息约束下随机过程比较与耦合的自然框架,在鲁棒金融、序列不确定性量化及多阶段随机优化中有重要应用。学习得到的双因果耦合可作为生成符合指定边缘分布和信息流的联合样本路径的模拟器。然而,由于在路径空间中强制执行双因果耦合约束存在计算困难,尤其对连续分布和长时序场景,实际应用受限。本文提出一种通用边缘分布下的可扩展随机优化框架,通过引入Kullback-Leibler(KL)惩罚松弛,将硬性边缘约束转化为可处理的散度惩罚,同时保持问题的递归结构。建立了原始与松弛形式的动态规划原理,证明了松弛问题在惩罚系数增大时收敛至原双因果OT问题,并推导出松弛目标的显式策略梯度表达式。基于此,设计了一种具有无偏小批量估计、方差缩减和非渐近后悔保证的实用策略梯度算法。数值实验表明,该方法能准确捕捉边缘分布与时间依赖性,在鲁棒次对冲和时间序列统计降尺度等任务中表现良好。该工作为双因果OT提供了可扩展的计算方法,拓展了其在非前瞻信息约束关键场景的应用范围。

原文摘要 · Abstract (English)

Bi-causal optimal transport (OT) is a natural framework for comparing and coupling stochastic processes under nonanticipative information constraints, with important applications in robust finance, sequential uncertainty quantification, and multistage stochastic optimization. In particular, a learned bi-causal coupling naturally serves as a simulator for generating joint sample paths that respect both prescribed marginal laws and the underlying information flow. Its practical use, however, is limited by the computational difficulty of enforcing bi-causal coupling constraints over path space, especially for continuous distributions and long horizons. We develop a scalable stochastic-optimization framework for computing bi-causal OT couplings under general marginals. Our approach introduces a Kullback--Leibler (KL)-penalized relaxation that replaces hard marginal constraints with tractable divergence penalties while preserving the recursive structure of the problem. We establish dynamic programming principles for both the original and relaxed formulations, prove that the relaxed problem converges to the original bi-causal OT problem as the penalty grows, and derive explicit policy-gradient representations for the relaxed objective. Building on these results, we propose a practical policy-gradient algorithm with unbiased mini-batch estimators, variance reduction, and nonasymptotic regret guarantees. Numerical experiments show that the method accurately captures marginal laws and temporal dependence, and performs well in applications including robust subhedging and time series statistical downscaling. These results provide a scalable computational approach to bi-causal OT and broaden its applicability in settings where nonanticipative information constraints are essential.

最优传输强化学习金融建模

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