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» On the convergence of Hill's method
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AUSAI
2006
Springer
15 years 3 months ago
3D Morphable Model Parameter Estimation
Estimating the structure of the human face is a long studied and difficult task. In this paper we present a new method for estimating facial structure from only a minimal number o...
Nathan Faggian, Andrew P. Paplinski, Jamie Sherrah
WSC
2004
15 years 2 months ago
Approximating Free Exercise Boundaries for American-Style Options Using Simulation and Optimization
Monte Carlo simulation can be readily applied to asset pricing problems with multiple state variables and possible path dependencies because convergence of Monte Carlo methods is ...
Barry R. Cobb, John M. Charnes
AUTOMATICA
2006
76views more  AUTOMATICA 2006»
15 years 1 months ago
Nonlinear robust performance analysis using complex-step gradient approximation
In this paper, the complex-step method is applied in the setting of numerical optimisation problems involving dynamical systems modelled as nonlinear differential equations. The m...
Jongrae Kim, Declan G. Bates, Ian Postlethwaite
MP
2006
73views more  MP 2006»
15 years 1 months ago
On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
We present a primal-dual interior-point algorithm with a filter line-search method for nonlinear programming. Local and global convergence properties of this method were analyzed i...
Andreas Wächter, Lorenz T. Biegler
SIAMSC
2010
160views more  SIAMSC 2010»
14 years 11 months ago
Shift-Invert Arnoldi Approximation to the Toeplitz Matrix Exponential
The shift-invert Arnoldi method is employed to generate an orthonormal basis from the Krylov subspace corresponding to a real Toeplitz matrix and an initial vector. The vectors and...
Spike T. Lee, Hong-Kui Pang, Hai-Wei Sun