Search Results - subject:"dual algorithm"

ON SOLVING SHORTEST PATHS WITH A LEAST-SQUARES PRIMAL-DUAL ALGORITHM

WANG, I.-LIN - In: Asia-Pacific Journal of Operational Research (APJOR) 25 (2008) 02, pp. 135-150

algorithm with the conventional primal-dual algorithm in solving shortest path problems and show their difference due to …

Persistent link: https://www.econbiz.de/10005050680

A CLASS OF NONLINEAR LAGRANGIANS: THEORY AND ALGORITHM

ZHANG, LI-WEI; REN, YONG-HONG; WU, YUE; XIAO, XIAN-TAO - In: Asia-Pacific Journal of Operational Research (APJOR) 25 (2008) 03, pp. 327-371

conditions are satisfied by well-known nonlinear Lagrangians appearing in literature. The convergence theorem shows that the dual … algorithm based on any nonlinear Lagrangian in the class is locally convergent when the penalty parameter is less than a …

Persistent link: https://www.econbiz.de/10005080683

Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model

Jensen, Malene Shin; Svenstrup, Mikkel - Ehrvervøkonomisk Institut, Institut for Økonomi - 2002

This paper concerns the problem of valuing Bermudan swaptions in a Libor market model. In particular we consider various eﬃciency improvement techniques for a Monte Carlo based valuation method. We suggest a simplification of the Andersen (2000) exercise strategy and find it to be much...

Persistent link: https://www.econbiz.de/10005750410