The calculation of value-at-risk (VAR) for large portfolios of complex instruments is among the most demanding and widespread computational challenges facing the financial industr...
Paul Glasserman, Philip Heidelberger, Perwez Shaha...
Recent results have suggested that online Model Predictive Control (MPC) can be computed quickly enough to control fast sampled systems. High-speed applications impose a hard real-...
Melanie Nicole Zeilinger, Colin Neil Jones, Davide...
The Fast Fourier Transform (FFT) allows the Discrete Time Fourier Transform (DTFT) to be efficiently sampled on a uniform grid in frequency. In many applications, including Magnet...
Background: One of the important challenges in microarray analysis is to take full advantage of previously accumulated data, both from one's own laboratory and from public re...
Kyu Baek Hwang, Sek Won Kong, Steven A. Greenberg,...
This article proposes a new framework to regularize linear inverse problems using the total variation on non-local graphs. This nonlocal graph allows to adapt the penalization to t...