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1. Introduction -- Part I: Linear Programming -- 2. Basic Properties of Linear Programs -- 3. Duality and Complementarity -- 4. The Simplex Method -- 5. Interior-Point Methods -- 6. Conic Linear Programming -- Part II: Unconstrained Problems -- 7. Basic Properties of Solutions and Algorithms --...
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This new edition covers the central concepts of practical optimization techniques, with an emphasis on methods that are both state-of-the-art and popular. Again a connection between the purely analytical character of an optimization problem and the behavior of algorithms used to solve the...
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Many important assets or business ventures have cash flows that are not derivatives of a market security but are nevertheless dependent on some variable that is correlated with market prices. This includes many real option projects. This paper presents a methodology using a binary framework for...
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The method of steepest descent for solving unconstrained minimization problems is well understood. It is known, for instance, that when applied to a smooth objective function f, and converging to a solution point x where the corresponding Hessian matrix F(x) is positive definite, the asymptotic...
Persistent link: https://www.econbiz.de/10009191171
A new criterion is introduced for comparing the convergence properties of variable metric algorithms, focusing on stepwise descent properties. This criterion is a bound on the rate of decrease in the function value at each iterative step (single-step convergence rate). Using this criterion as a...
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