We discuss efficient Monte Carlo (MC) methods for the estimation of convex risk measures within the portfolio credit risk model CreditMetrics. Our focus lies on the Utilitybased ...
In this paper we propose an accelerated version of the cubic regularization of Newton's method [6]. The original version, used for minimizing a convex function with Lipschitz...
Consider a problem of minimizing a separable, strictly convex, monotone and differentiable function on a convex polyhedron generated by a system of m linear inequalities. The probl...
Adi Ben-Israel, Genrikh Levin, Yuri Levin, Boris R...
We recently reported a criterion for blind separation of non-negative sources, using a new concept called convex analysis for mixtures of non-negative sources (CAMNS). Under some ...
In this paper, we investigate the problem of binary classification with a reject option in which one can withhold the decision of classifying an observation at a cost lower than t...