Search Results - subject:"Trust region method"

Complexity bounds for primal-dual methods minimizing the model of objective function

NESTEROV, Yurii - Center for Operations Research and Econometrics (CORE), … - 2015

We provide Frank-Wolfe (= Conditional Gradients) method with a convergence analysis allowing to approach a primal-dual solution of convex optimization problem with composite objective function. Additional properties of complementary part of the objective (strong convexity) significantly...

Persistent link: https://www.econbiz.de/10011246288

Estimation and empirical performance of non-scalar dynamic conditional correlation models

BAUWENS, Luc; GRIGORYEVA, Lyudmila; ORTEGA, Juan-Pablo - Center for Operations Research and Econometrics (CORE), … - 2014

-likelihood using a Bregman-proximal trust-region method to handle the various non-linear stationarity and positivity constraints that …

Persistent link: https://www.econbiz.de/10011094065

Select Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach

Xu, Dinghai; Li, Yuying - In: Frontiers of Economics in China 7 (2012) 1, pp. 22-43

five popular methods across six sampling-frequency transaction data (from 1-min to 60- min) based on the trust region … method. Availability of the realized volatility allows us to estimate the model parameters via the MLE and thus avoids …

Persistent link: https://www.econbiz.de/10010888551