Search results for "convergence"

An Iterative Method for Pricing American Options Under Jump-Diffusion Models

2011

We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou's and Merton's jump-diffusion models show that the resulting iteration converges rapidly.

On properties of the iterative maximum likelihood reconstruction method

1989

In this paper, we continue our investigations6 on the iterative maximum likelihood reconstruction method applied to a special class of integral equations of the first kind, where one of the essential assumptions is the positivity of the kernel and the given right-hand side. Equations of this type often occur in connection with the determination of density functions from measured data. There are certain relations between the directed Kullback–Leibler divergence and the iterative maximum likelihood reconstruction method some of which were already observed by other authors. Using these relations, further properties of the iterative scheme are shown and, in particular, a new short and elementar…

The design of absorbing Bayesian pursuit algorithms and the formal analyses of their ε-optimality

2016

The fundamental phenomenon that has been used to enhance the convergence speed of learning automata (LA) is that of incorporating the running maximum likelihood (ML) estimates of the action reward probabilities into the probability updating rules for selecting the actions. The frontiers of this field have been recently expanded by replacing the ML estimates with their corresponding Bayesian counterparts that incorporate the properties of the conjugate priors. These constitute the Bayesian pursuit algorithm (BPA), and the discretized Bayesian pursuit algorithm. Although these algorithms have been designed and efficiently implemented, and are, arguably, the fastest and most accurate LA report…

Global sensitivity analysis for urban water quality modelling: Terminology, convergence and comparison of different methods

2015

Abstract Sensitivity analysis represents an important step in improving the understanding and use of environmental models. Indeed, by means of global sensitivity analysis (GSA), modellers may identify both important ( factor prioritisation ) and non-influential ( factor fixing ) model factors. No general rule has yet been defined for verifying the convergence of the GSA methods. In order to fill this gap this paper presents a convergence analysis of three widely used GSA methods (SRC, Extended FAST and Morris screening) for an urban drainage stormwater quality–quantity model. After the convergence was achieved the results of each method were compared. In particular, a discussion on peculiar…

Iterative continuous maximum-likelihood reconstruction method

1992

Stochastic dynamics of linear elastic trusses in presence of structural uncertainties (virtual distortion approach)

2004

Structures involving uncertainties in material and/or in geometrical parameters are referred to as uncertain structures. Reliability analysis of such structures strongly depends on variation of parameters and probabilistic approach is often used to characterize structural uncertainties. In this paper dynamic analysis of linearly elastic system in presence of random parameter variations will be performed. In detail parameter fluctuations have been considered as inelastic, stress and parameter dependent superimposed strains. Analysis is then carried out via superposition principle accounting for response to external agencies and parameter dependent strains. Proposed method yields asymptotic s…

A non dominated ranking Multi Objective Genetic Algorithm and electre method for unequal area facility layout problems

2013

The unequal area facility layout problem (UA-FLP) comprises a class of extremely difficult and widely applicable optimization problems arising in diverse areas and meeting the requirements for real-world applications. Genetic Algorithms (GAs) have recently proven their effectiveness in finding (sub) optimal solutions to many NP-hard problems such as UA-FLP. A main issue in such approach is related to the genetic encoding and to the evolutionary mechanism implemented, which must allow the efficient exploration of a wide solution space, preserving the feasibility of the solutions and ensuring the convergence towards the optimum. In addition, in realistic situations where several design issues…

Global sensitivity analysis in wastewater treatment modelling

2019

Global sensitivity analysis (GSA) is a valuable tool to support the use of mathematical models. GSA allows the identifcation of the effect of model and input factor uncertainty on the model response, also considering the effect due to the interactions among factors. During recent years, the wastewater modelling feld has embraced the use of GSA. Wastewater modellers have tried to transfer the knowledge and experience from other disciplines and other water modelling felds.

A heuristic for fast convergence in interference-free channel assignment using D1EC coloring

2010

This work proposes an efficient method for solving the Distance-1 Edge Coloring problem (D1EC) for the assignment of orthogonal channels in wireless networks with changing topology. The coloring algorithm is performed by means of the simulated annealing method, a generalization of Monte Carlo methods for solving combinatorial problems. We show that the simulated annealing-based coloring converges fast to a suboptimal coloring scheme. Furthermore, a stateful implementation of the D1EC scheme is proposed, in which network coloring is executed upon topology changes. The stateful D1EC is also based on simulated annealing and reduces the algorithm’s convergence time by one order of magnitude in …

Comparison of continuous and discontinuous Galerkin approaches for variable-viscosity Stokes flow

2015

We describe a Discontinuous Galerkin (DG) scheme for variable-viscosity Stokes flow which is a crucial aspect of many geophysical modelling applications and conduct numerical experiments with different elements comparing the DG approach to the standard Finite Element Method (FEM). We compare the divergence-conforming lowest-order Raviart-Thomas (RT0P0) and Brezzi-Douglas-Marini (BDM1P0) element in the DG scheme with the bilinear Q1P0 and biquadratic Q2P1 elements for velocity and their matching piecewise constant/linear elements for pressure in the standard continuous Galerkin (CG) scheme with respect to accuracy and memory usage in 2D benchmark setups. We find that for the chosen geodynami…