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WSC
2007
15 years 10 months ago
American option pricing under stochastic volatility: a simulation-based approach
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...
Arunachalam Chockalingam, Kumar Muthuraman
SODA
2008
ACM
101views Algorithms» more  SODA 2008»
15 years 9 months ago
Adaptive local ratio
Local ratio is a well-known paradigm for designing approximation algorithms for combinatorial optimization problems. At a very high level, a local-ratio algorithm first decomposes ...
Julián Mestre
NIPS
1998
15 years 9 months ago
SMEM Algorithm for Mixture Models
When learning a mixture model, we suffer from the local optima and model structure determination problems. In this paper, we present a method for simultaneously solving these prob...
Naonori Ueda, Ryohei Nakano, Zoubin Ghahramani, Ge...
GLVLSI
2010
IEEE
168views VLSI» more  GLVLSI 2010»
15 years 8 months ago
A revisit to voltage partitioning problem
We revisit voltage partitioning problem when the mapped voltages of functional units are predetermined. If energy consumption is estimated by formulation E = CV 2 , a published wo...
Tao Lin, Sheqin Dong, Bei Yu, Song Chen, Satoshi G...
ANOR
2007
165views more  ANOR 2007»
15 years 7 months ago
Financial scenario generation for stochastic multi-stage decision processes as facility location problems
The quality of multi-stage stochastic optimization models as they appear in asset liability management, energy planning, transportation, supply chain management, and other applicat...
Ronald Hochreiter, Georg Ch. Pflug