Search results for "approximation scheme"
showing 3 items of 3 documents
Fully Polynomial Time Approximation Scheme for the Two-Parallel Capacitated Machines Scheduling Problem Under Unavailability Constraint
2010
Abstract Decision Support Systems (DSS) ensure the computer-based support for the conscientious decision-making in solving problems that require a large amount of information processing and complex scenarios. DSS for Transportation (DSST) are intelligent systems that are used at operational and organizational management levels. Operating a DSST in a public transportation web-based monitoring system is presented in this paper.
ε-Regularized two-level optimization problems: Approximation and existence results
2006
The purpose of this work is to improve some results given in [12], relating to approximate solutions for two-level optimization problems. By considering an e-regularized problem, we get new properties, under convexity assumptions in the lower level problems. In particular, we prove existence results for the solutions to the e-regularized problem, whereas the initial two-level optimization problem may fail to have a solution. Finally, as an example, we consider an approximation method with interior penalty functions.
Mean square rate of convergence for random walk approximation of forward-backward SDEs
2020
AbstractLet (Y,Z) denote the solution to a forward-backward stochastic differential equation (FBSDE). If one constructs a random walk$B^n$from the underlying Brownian motionBby Skorokhod embedding, one can show$L_2$-convergence of the corresponding solutions$(Y^n,Z^n)$to$(Y, Z).$We estimate the rate of convergence based on smoothness properties, especially for a terminal condition function in$C^{2,\alpha}$. The proof relies on an approximative representation of$Z^n$and uses the concept of discretized Malliavin calculus. Moreover, we use growth and smoothness properties of the partial differential equation associated to the FBSDE, as well as of the finite difference equations associated to t…