AOR
2010
13 years 5 months ago
2010
Column generation algorithms have been specially designed for solving mathematical programs with a huge number of variables. Unfortunately, this method suffers from slow convergen...
AOR
2010
13 years 5 months ago
2010
We study the problem of computing general static-arbitrage bounds for European basket options; that is, computing bounds on the price of a basket option, given the only assumption...
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AOR
2010
13 years 5 months ago
2010
We show how a technique from signal processing known as zero-delay convolution can be used to develop more efficient dynamic programming algorithms for a broad class of stochastic...
AOR
2010
13 years 5 months ago
2010
The sphere method for solving linear programs operates with only a subset of constraints in the model in each iteration, and thus has the advantage of handling instances which may...