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SIAMCO
2008
116views more  SIAMCO 2008»
15 years 3 months ago
Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
We introduce a new class of control problems in which the gain depends on the solution of a stochastic differential equation reflected at the boundary of a bounded domain, along d...
Bruno Bouchard
INFOCOM
2011
IEEE
14 years 7 months ago
Utility optimization for dynamic peer-to-peer networks with tit-for-tat constraints
— We consider a peer-to-peer network where nodes can send and receive files amongst their peers. File requests are generated randomly, and each new file can correspond to a dif...
Michael J. Neely, Leana Golubchik
SIAMJO
2002
107views more  SIAMJO 2002»
15 years 2 months ago
A Globally Convergent Augmented Lagrangian Pattern Search Algorithm for Optimization with General Constraints and Simple Bounds
We give a pattern search method for nonlinearly constrained optimization that is an adaption of a bound constrained augmented Lagrangian method first proposed by Conn, Gould, and T...
Robert Michael Lewis, Virginia Torczon
145
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SIAMJO
2010
125views more  SIAMJO 2010»
14 years 10 months ago
Trading Accuracy for Sparsity in Optimization Problems with Sparsity Constraints
We study the problem of minimizing the expected loss of a linear predictor while constraining its sparsity, i.e., bounding the number of features used by the predictor. While the r...
Shai Shalev-Shwartz, Nathan Srebro, Tong Zhang
CP
2009
Springer
16 years 3 months ago
Constraint-Based Optimal Testing Using DNNF Graphs
The goal of testing is to distinguish between a number of hypotheses about a systemfor example, dierent diagnoses of faults by applying input patterns and verifying or falsifying t...
Anika Schumann, Martin Sachenbacher, Jinbo Huang