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WSC
2007
13 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
ARC
2008
Springer
115views Hardware» more  ARC 2008»
13 years 9 months ago
A High Throughput FPGA-based Floating Point Conjugate Gradient Implementation
As Field Programmable Gate Arrays (FPGAs) have reached capacities beyond millions of equivalent gates, it becomes possible to accelerate floating-point scientific computing applica...
Antonio Roldao Lopes, George A. Constantinides
ATAL
2008
Springer
13 years 9 months ago
Trajectories of goods in distributed allocation
Distributed allocation mechanisms rely on the agents' autonomous (and supposedly rational) behaviour: states evolve as a result of agents contracting deals and exchanging res...
Yann Chevaleyre, Ulle Endriss, Nicolas Maudet
ECIR
2003
Springer
13 years 9 months ago
A Hybrid Relevance-Feedback Approach to Text Retrieval
Abstract. Relevance feedback (RF) has been an effective query modification approach to improving the performance of information retrieval (IR) by interactively asking a user whet...
Zhao Xu, Xiaowei Xu, Kai Yu, Volker Tresp
UAI
2004
13 years 9 months ago
Discretized Approximations for POMDP with Average Cost
In this paper, we propose a new lower approximation scheme for POMDP with discounted and average cost criterion. The approximating functions are determined by their values at a fi...
Huizhen Yu, Dimitri P. Bertsekas