Abstract. In this article we propose a novel approach to reduce the computational complexity of various approximation methods for pricing discrete time American or Bermudan options. Given a sequence of continuation values estimates corresponding to different levels of spatial approximation, we propose a multilevel low biased estimate for the price of the option. It turns out that the resulting ...

We introduce the notion of predicted decrease approximation (PDA) for constrained convex optimization, a flexible framework which includes as special cases known algorithms such as generalized conditional gradient, proximal gradient, greedy coordinate descent for separable constraints and working set methods for linear equality constraints with bounds. The new scheme allows the development of a...

MAP is the problem of nding a most probable instantiation of a set of variables in a Bayesian network, given some evidence. MAP appears to be a signiicantly harder problem than the related problems of computing the probability of evidence (Pr), or MPE (a special case of MAP). Because of the complexity of MAP, and the lack of viable algorithms to approximate it, MAP computations are generally av...

Promising numerical results using once and twice integrated radial basis functions have been recently presented. In this work we investigate the integrated radial basis function (IRBF) concept in greater detail, connect to the existing RBF theory, and make conjectures about the properties of IRBF approximation methods. The IRBF methods are used to solve PDEs. c © 2006 Elsevier Science Ltd. All ...

Depending on the state of the stand-by equipment, can be distinguished loaded, non-loaded and partially loaded relief. In the case of loaded relief, the stand-by unit is in the same state as the operating unit and for this reason has the same intensity of breakdowns. In the partially loaded case, the stand-by device is loaded, but not so fully as the main equipment and for this reason has a dif...

An iterative procedure is presented which permits the determination of a rational transfer function in the Laplace transform variable s which is optimal with respect to given input and output time-functions. The optimal system of a particular order is defined as the one whose output when subjected to the known input function is nearest in the time integral square sense to the desired output fun...

The problem of finding the correct asymptotic rate of approximation by polynomial loops in dependence of the smoothness of the elements of a loop group seems not well-understood in general. For matrix Lie groups such as SU(N), it can be viewed as a problem of nonlinearly constrained trigonometric approximation. Motivated by applications to optical FIR filter design and control, we present some ...

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In this paper, modified solutions were compared through utilizing three different approximate methods for bar structures. The modifications considered various changes in the initial design. To authors' best of knowledge, the studies have carried out on this matter so far are not broad enough and have considerred the simeltaneous variations of size, geometry and topology on the bar structures. I...