We develop a numerical scheme for determining the optimal asset allocation strategy for time-consistent, continuous time, mean variance optimization. Any type of constraint can be...
In the context of mesh adaptation, Riemannian metric spaces have been used to prescribe orientation, density and stretching of anisotropic meshes. But, such structures are only con...
Dynamic optimization presents opportunities for finding run-time bottlenecks and deploying optimizations in statically compiled programs. In this paper, we discuss our current impl...
Howard Chen, Jiwei Lu, Wei-Chung Hsu, Pen-Chung Ye...
We introduce a novel global optimization method called Continuous GRASP (C-GRASP) which extends Feo and Resende’s greedy randomized adaptive search procedure (GRASP) from the dom...