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MOR
2007
116views more  MOR 2007»
13 years 5 months ago
Optimal Strategies and Utility-Based Prices Converge When Agents' Preferences Do
A discrete-time financial market model is considered with a sequence of investors whose preferences are described by utility functions Un defined on the whole real line. It is s...
Laurence Carassus, Miklós Rásonyi
MOR
2007
140views more  MOR 2007»
13 years 5 months ago
Adaptive Control Variates for Finite-Horizon Simulation
Adaptive Monte Carlo methods are simulation efficiency improvement techniques designed to adaptively tune simulation estimators. Most of the work on adaptive Monte Carlo methods h...
Sujin Kim, Shane G. Henderson
MOR
2007
116views more  MOR 2007»
13 years 5 months ago
Complex Matrix Decomposition and Quadratic Programming
This paper studies the possibilities of the Linear Matrix Inequality (LMI) characterization of the matrix cones formed by nonnegative complex Hermitian quadratic functions over sp...
Yongwei Huang, Shuzhong Zhang
MOR
2007
138views more  MOR 2007»
13 years 5 months ago
The Demand-Matching Problem
The objective of the demand matching problem is to obtain the subset M of edges which is feasible and where the sum of the profits of each of the edges is maximized. The set M is...
F. Bruce Shepherd, Adrian Vetta