We review that part of the literature on energy spot price models which involves convenience yield as a factor, our goal being to document the shortcomings of the most commonly used models. From a mathematical point of view, the introduction of the convenience yield is usually justified by the desire to reconciliate dynamical models for the time evolution of commodity prices with standard arbit...

We revisit the stochastic limited-memory BFGS (L-BFGS) algorithm. By proposing a new framework for analyzing convergence, we theoretically improve the (linear) convergence rates and computational complexities of the stochastic LBFGS algorithms in previous works. In addition, we propose several practical acceleration strategies to speed up the empirical performance of such algorithms. We also pr...

We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX rates can be efficiently performed through the FFT methodology thanks to the affine property of the model. Our framework is also able to describe many non trivi...

This paper describes our work on building Part-of-Speech (POS) tagger for Bengali. We have use Hidden Markov Model (HMM) and Maximum Entropy (ME) based stochastic taggers. Bengali is a morphologically rich language and our taggers make use of morphological and contextual information of the words. Since only a small labeled training set is available (45,000 words), simple stochastic approach doe...

Consider an agricultural land–water resource allocation problem in which yields are spatial dependent and stochastically correlated. To achieve sustainability, we formulate a multiobjective (MO) optimization problem, the decision maker determines cultivation areas supplemental irrigation water levels at different locations, with social, economic, environmental goals mind. For social goal, minim...

1 Forest Sciences Centre of Catalonia (CEMFOR-CTFC), E25280, Ctra de St. Llorenç de Morunys Km 2, 5 Solsona, Spain. 6 b Departamento de Ingenieria Industrial, Universidad de Chile, Santiago, Chile 7 *Corresponding author: [email protected], telephone: +351 21365 3309 fax:: +351 21 365 33 38 8 9 Abstract: 10 11 An approach is proposed for incorporating into the forest harvesting decisio...

Interesting theoretical associations have been established by recent papers between the fields of active learning and stochastic convex optimization due to the common role of feedback in sequential querying mechanisms. In this paper, we continue this thread in two parts by exploiting these relations for the first time to yield novel algorithms in both fields, further motivating the study of the...