Search Results - subject:"penalty methods"

A nonsmooth exact penalty method for equality-constrained optimization : complexity and implementation

Diouane, Youssef; Gollier, Maxence; Orban, Dominique - 2024

Persistent link: https://www.econbiz.de/10015101698

Clean energy stock returns forecasting using a large number of predictors : which play important roles?

Liu, Xinling; Wang, Binjie; Xue, Jianhao; Wang, Qunwei; … - In: China finance review international 15 (2025) 2, pp. 247-276

Persistent link: https://www.econbiz.de/10015423963

A consensus-based alternating direction method for mixed-integer and pde-constrained gas transport problems

Krug, Richard; Leugering, Günter; Martin, Alexander; … - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 2, pp. 397-416

Persistent link: https://www.econbiz.de/10014532294

Utility indifference option pricing model with a non-constant risk-aversion under transaction costs and its numerical approximation

Pólvora, Pedro; Ševčovič, Daniel - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-12

Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a difference of the certainty equivalents to the value functions solving the system of HJB equations. We introduce the...

Persistent link: https://www.econbiz.de/10013201083

Utility indifference option pricing model with a non-constant risk-aversion under transaction costs and its numerical approximation

Pólvora, Pedro; Ševčovič, Daniel - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-12

Persistent link: https://www.econbiz.de/10012627673

An alternating method for cardinality-constrained optimization : a computational study for the best subset selection and sparse portfolio problems

Moreira Costa, Carina; Kreber, Dennis; Schmidt, Martin - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 6, pp. 2968-2988

Persistent link: https://www.econbiz.de/10014326330

A penalty branch-and-bound method for mixed binary linear complementarity problems

De Santis, Marianna; Vries, Sven de; Schmidt, Martin; … - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 6, pp. 3117-3133

Persistent link: https://www.econbiz.de/10014326634

Computing feasible points of bilevel problems with a penalty alternating direction method

Kleinert, Thomas; Schmidt, Martin - In: INFORMS journal on computing : JOC 33 (2021) 1, pp. 198-215

Persistent link: https://www.econbiz.de/10012496375

Solving highly detailed gas transport MINLPs : block separability and penalty alternating direction methods

Geißler, Björn; Morsi, Antonio; Schewe, Lars; … - In: INFORMS journal on computing : JOC 30 (2018) 2, pp. 309-323

Persistent link: https://www.econbiz.de/10011878293

Characterization of the equivalence of robustification and regularization in linear and matrix regression

Bertsimas, Dimitris; Copenhaver, Martin S. - In: European journal of operational research : EJOR 270 (2018) 3, pp. 931-942

Persistent link: https://www.econbiz.de/10011882668