This article develops an algorithm for the exact forward-mode automatic evaluation of higher order partial derivatives using derivative arrays, now referred to as the FEED (Fast Efficient Evaluation of Derivatives) algorithm. Building on previous work by R. Wengert, the FEED algorithm proceeds...

Many optimization methods are available at the present time. The software that implements a particular method may not be available to all users or the software may require a compiler not readily available to all users. The software may require extensive modifications before it can run on a...

In Kalaba, Tesfatsion, and Wang (JMAA,1983) an algorithm was developed for the exact forward-mode automatic evaluation of higher-order partial derivatives of functions of many variables using derivative arrays. This algorithm was supported by a library of "calculus subroutines" for many standard...

This article surveys work by the authors on new tools for the calculation and tracking of solutions for nonlinear parameterized systems. Annotated pointers to related work can be accessed at: http://www.econ.iastate.edu/tesfatsi/nasahome.htm http://www.econ.iastate.edu/tesfatsi/flshome.htm

2001 the first version WARRANT-PRO-2 (0.1) has been presented, see Breitner and Burmester (2002), which optimizes cash settlements for European double-barrier options and warrants. From the viewpoint of financial mathematics, some of the boundary conditions of the partial differential...

In this paper the Laplace approximation is used to perform classical and Bayesian analyses of univariate and multivariate stochastic volatility (SV) models. We show that implementation of the Laplace approximation is greatly simplified by the use of a numerical technique known as automatic...

In this paper the Laplace approximation is used to perform classical and Bayesian analyses of univariate and multivariate stochastic volatility (SV) models. We show that implementation of the Laplace approximation is greatly simplified by the use of a numerical technique known as automatic...

In this paper the Laplace approximation is used to perform classical and Bayesian analyses of univariate and multivariate stochastic volatility (SV) models. We show that implementation of the Laplace approximation is greatly simplified by the use of a numerical technique known as automatic...

This paper deals with the space mapping optimization algorithms in general and with the manifold mapping technique in particular. The idea of such algorithms is to optimize a model with a minimum number of each objective function evaluations using a less accurate but faster model. In this...

The Laplace approximation is used to perform maximum likelihood estimation of univariate and multivariate stochastic volatility (SV) models. It is shown that the implementation of the Laplace approximation is greatly simplified by the use of a numerical technique known as automatic...