This paper presents a provably convergent multifidelity optimization algorithm for unconstrained problems that does not require high-fidelity gradients. The method uses a radial basis function interpolation to capture the error between a high-fidelity function and a low-fidelity function. The error interpolation is added to the low-fidelity function to create a surrogate model of the high-fidel...

Pricing Asian options is a long standing hard problem since there is no analytical formula for the probability density of its payoff even when the process of the underlying asset follows the simple lognormal diffusion process. It is known that the option payoff can be expressed as a recursive function of sums of independent random variables. As a result, the density function of the option payof...

Abs t r ac t -An account is given of the role played by moments and modified moments in the construction of quadrature rules, specifically weighted Newton-Cotes and Gaussian rules. Fast and slow Lagrange interpolation algorithms, combined with Gaussian quadrature, as well as linear algebra methods based on moment equations, axe described for generating Newton-Cotes formulae. The weaknesses and ...

A generalized N-point Birkhoff–Young quadrature of interpolatory type, with the Chebyshev weight, for numerical integration of analytic functions is considered. The nodes of such a quadrature are characterized by an orthogonality relation. Some special cases of this quadrature formula are derived. 2011 Elsevier Inc. All rights reserved.

for R(t) which is rapidly convergent for small values of t and which incidentally provides a new set of inequalities. The rapidity of convergence is compared with a series for R(t) and with the Laplace C.F. for R(t). This assessment is similar to recent work by Teichroew (1952) on the comparative rapidity of convergence of series ando.F.'s for the elementary function e?, hi (1 + x) and arc tan ...

We provide a map Θ 7→ ΠΘ which associates each finite set Θ of points in C with a polynomial space ΠΘ from which interpolation to arbitrary data given at the points in Θ is possible and uniquely so. Among all polynomial spaces Q from which interpolation at Θ is uniquely possible, our ΠΘ is of smallest degree. It is also Dand scale-invariant. Our map is monotone, thus providing a Newton form for...

Con-temporarily, information data has become the cornerstone of every company’s decision-making. In a vast flow information, choosing right is first step in developing successful predictions. After determinations requirements, analysis purpose and prediction direction, outlier processing, missing value processing repeated are usually encountered. This paper introduces limitations, advantages di...

The Newton-Lagrange interpolation is a well-known problem in elementary calculus. Recall basic facts concerning this problem [6], [2]. Let Ak, k = 0, 1, 2, . . . and ak, k = 0, 1, 2, . . . be two arbitrary sequences of complex numbers (we assume that all ak are distinct ak 6= aj if k 6= j. By interpolation polynomial we mean a n-degree polynomial Pn(z) whose values at points a0, a1, . . . , an ...

Given a valid set X of interpolation points for Lagrange degree d in n variables we study how many subsets can be chosen order to obtain d-1. This leads an estimate the number Newton structures which, turn, gives different unisolvent sets that obtainend by process interwinning which is recalled text.