منابع مشابه
On Multiresolution Methods in Numerical Analysis 4832
As a way to emphasize several distinct features of the mul-tiresolution methods based on wavelets, we describe connections between the multiresolution LU decomposition, multigrid and multiresolution re-duction/homogenization for self-adjoint, strictly elliptic operators. We point out that the multiresolution LU decomposition resembles a direct multigrid method (without W-cycles) and that the al...
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Advances in computer software and in agent-based computational finance allow the use of numerical methods in order to optimize different type of functions. In this paper we propose a numerical method in order to find the level of leverage that maximizes the geometric mean of a series of historical daily returns. One of the advantages of the use of numerical methods is that it requires less assu...
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Lecturer: Marin Kobilarov Consider the general setting where we are minimizing J = φ(x(t f), t f) + t f t 0 L(x(t), u(t), t)dt, (1) subject to: x(t 0) = x 0 , x(t f) and t f free (2) ˙ x(t) = f (x(t), u(t), t) (3) c(x(t), u(t), t) ≤ 0, for all t ∈ [t 0 , t f ] (4) ψ(x(t f), t f) ≤ 0, (5) We will consider three families of numerical methods for solving the optimal control problem: • dynamic prog...
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ژورنال
عنوان ژورنال: Banach Center Publications
سال: 1984
ISSN: 0137-6934,1730-6299
DOI: 10.4064/-13-1-575-587