Search Results - subject:"complementarity problem"

Convergence analysis of power penalty method for American bond option pricing

Zhang, K.; Teo, K. - In: Journal of Global Optimization 56 (2013) 4, pp. 1313-1323

bond option is usually formulated as a partial differential complementarity problem. We first develop a power penalty … method to solve this partial differential complementarity problem, which produces a nonlinear degenerated parabolic PDE …

Persistent link: https://www.econbiz.de/10010896441

Primal-dual methods for the computation of trading regions under proportional transaction costs

Herzog, Roland; Kunisch, Karl; Sass, Jörn - In: Computational Statistics 77 (2013) 1, pp. 101-130

Portfolio optimization problems on a finite time horizon under proportional transaction costs are considered. The objective is to maximize the expected utility of the terminal wealth. The ensuing non-smooth time-dependent Hamilton–Jacobi–Bellman equation is solved by regularization and the...

Persistent link: https://www.econbiz.de/10010759519

Benders Decomposition for multi-stage stochastic mixed complementarity problems – Applied to a global natural gas market model

Egging, Ruud - In: European Journal of Operational Research 226 (2013) 2, pp. 341-353

This paper presents and implements a Benders Decomposition type of algorithm for large-scale, stochastic multi-period mixed complementarity problems. The algorithm is applied to various multi-stage natural gas market models accounting for market power exertion by traders. Due to the...

Persistent link: https://www.econbiz.de/10010608500