Minimal penalty for Goldenshluger–Lepski method

Penalty Method

The oracle penalty method

A new and universal penalty method is introduced in this contribution. It is especially intended to be applied in stochastic metaheuristics like genetic algorithms, particle swarm optimization or ant colony optimization. The novelty of this method is, that it is an advanced approach that only requires one parameter to be tuned. Moreover this parameter, named oracle, is easy and intuitive to han...

Valuation of installment option by penalty method

In this paper, installment options on the underlying asset which evolves according to Black-Scholes model and pays constant dividend to its owner will be considered. Applying arbitrage pricing theory, the non-homogeneous parabolic partial differential equation governing the value of installment option is derived. Then, penalty method is used to value the European continuous installment call opt...

On the minimal penalty for Markov order estimation

We show that large-scale typicality of Markov sample paths implies that the likelihood ratio statistic satisfies a law of iterated logarithm uniformly to the same scale. As a consequence, the penalized likelihood Markov order estimator is strongly consistent for penalties growing as slowly as log log n when an upper bound is imposed on the order which may grow as rapidly as log n. Our method of...

PENALTY METHOD FOR UNILATERAL CONTACT PROBLEM WITH COULOMB’S FRICTION FOR LOCKING MATERIAL

In this work, we study a unilateral contact problem with non local friction of Coulombbetween a locking material and a rigid foundation. In the first step , we present the mathematicalmodel for a static process, we establish the variational formulation in the form of a variationalinequality and we prove the existence and uniqueness of the solution. In the second step, usingthe penalty method we...