Monte Carlo simulation techniques that use function approximations have been successfully applied to approximately price multi-dimensional American options. However, for many pric...
The range searching problem is a fundamental problem in computational geometry, with numerous important applications. Most research has focused on solving this problem exactly, bu...
In the field of robust optimization, the goal is to provide solutions to combinatorial problems that hedge against variations of the numerical parameters. This constitutes an effor...
Monaldo Mastrolilli, Nikolaus Mutsanas, Ola Svenss...
We study the intrinsic difficulty of solving linear parabolic initial value problems numerically at a single point. We present a worst case analysis for deterministic as well as fo...
In this paper, we resolve the smoothed and approximative complexity of low-rank quasi-concave minimization, providing both upper and lower bounds. As an upper bound, we provide th...