A PRIMAL-DUAL ALGORITHM FOR BSDES
نویسندگان
چکیده
منابع مشابه
The Primal - dual Algorithm
As we have seen before, using strong duality, we know that the optimum value for the following two linear programming are equal, i.e. u = w, if they are both feasible. u = max{cx : Ax ≤ b, x ≥ 0} (P ) w = min{b y : A y ≥ c, y ≥ 0} (D) Using the above result, we can check the optimality of a primal and/or a dual solution. Theorem 1. Suppose x and y are feasible solutions to (P ) and (D). Then x ...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2015
ISSN: 0960-1627
DOI: 10.1111/mafi.12100