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SIAMCO
2008
116views more  SIAMCO 2008»
15 years 4 months ago
Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
We introduce a new class of control problems in which the gain depends on the solution of a stochastic differential equation reflected at the boundary of a bounded domain, along d...
Bruno Bouchard
INFORMATICALT
2002
91views more  INFORMATICALT 2002»
15 years 4 months ago
Bayesian Heuristic Approach to Scheduling
Abstract. Real life scheduling problems are solved by heuristics with parameters defined by experts, as usual. In this paper a new approach is proposed where the parameters of vari...
Jonas Mockus
GECCO
2009
Springer
130views Optimization» more  GECCO 2009»
15 years 9 months ago
A stigmergy-based algorithm for black-box optimization: noiseless function testbed
In this paper, we present a stigmergy-based algorithm for solving optimization problems with continuous variables, labeled Differential Ant-Stigmergy Algorithm (DASA). The perfor...
Peter Korosec, Jurij Silc
GECCO
2009
Springer
107views Optimization» more  GECCO 2009»
15 years 9 months ago
A stigmergy-based algorithm for black-box optimization: noisy function testbed
In this paper, we present a stigmergy-based algorithm for solving optimization problems with continuous variables, labeled Differential Ant-Stigmergy Algorithm (DASA). The perfor...
Peter Korosec, Jurij Silc
HYBRID
2010
Springer
15 years 11 months ago
A descent algorithm for the optimal control of constrained nonlinear switched dynamical systems
One of the oldest problems in the study of dynamical systems is the calculation of an optimal control. Though the determination of a numerical solution for the general nonconvex o...
Humberto González, Ramanarayan Vasudevan, M...