Semidefinite optimization, commonly referred to as semidefinite programming, has been a remarkably active area of research in optimization during the last decade. For combinatoria...
We prove that if two smooth manifolds intersect transversally, then the method of alternating projections converges locally at a linear rate. We bound the speed of convergence in ...
We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European cal...
Scott B. Laprise, Michael C. Fu, Steven I. Marcus,...
Abstract. The Maximum Diversity Problem (MDP) consists in identifying, in a population, a subset of elements, characterized by a set of attributes, that present the most diverse ch...
Geiza C. Silva, Marcos R. Q. de Andrade, Luiz Sato...
Abstract. The sequential regularization method is a reformulation of the unsteady Navier-Stokes equations from the view point of constrained dynamical systems or approximate Helmho...