Constrained Density Estimation via Optimal Transport

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Authors: Yinan Hu, Esteban G. Tabak
Cited by: 0

Abstract

A novel framework for density estimation under expectation constraints is proposed. The framework minimizes the Wasserstein distance between the estimated density and a prior, subject to the constraints that the expected value of a set of functions adopts or exceeds given values. The framework is generalized to include regularization inequalities to mitigate the artifacts in the target measure. An annealing-like algorithm is developed to address non-smooth constraints, with its effectiveness demonstrated through both synthetic and proof-of-concept real world examples in finance.

Fields of Study & Subjects

Geometric Analysis and Curvature Flows Markov Chains and Monte Carlo Methods Risk and Portfolio Optimization

Publication details

Journal / source
arXiv (Cornell University)
Publication date
11 January 2026
Document type
Preprint