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Search: subject:"Semidefinite programming problem"
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Constrained Markov decision processes
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Linear programming problem
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Gotoh, Jun-ya
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Management Science
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Constrained Markov decision processes with uncertain costs
Varagapriya, V.
;
Vikas Vikram Singh
;
Lisser, Abdel
- In:
Operations research letters
50
(
2022
)
2
,
pp. 218-223
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013192709
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Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
Gotoh, Jun-ya
;
Konno, Hiroshi
- In:
Management Science
48
(
2002
)
5
,
pp. 665-678
semidefinite
programming
problem
(SDP). The purpose of this paper is to improve and extend their results. We will show that a tight …
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009191992
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