搜索结果: 1-6 共查到“最优化 problem”相关记录6条 . 查询时间(0.176 秒)
Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Pandora Box Problem with Nonobligatory Inspection: Hardness and Approximation Scheme
潘多拉盒问题 非强制性检查 硬度 近似方案
2023/4/14
Weitzman (1979) introduced the Pandora Box problem as a model for sequential search with inspection costs, and gave an elegant index-based policy that attains provably optimal expected payoff. In vari...
Canonical dual theory applied to a Lennard-Jones potential minimization problem
Mathematical Canonical Duality Theory Mathematical Optimization Lennard-Jones Potential Minimization Problem Global Optimization
2011/9/21
Abstract: The simplified Lennard-Jones (LJ) potential minimization problem is $f(x)=4\sum_{i=1}^N \sum_{j=1,jbb{R}^n,$ where...
Optimal Execution Problem for Geometric Ornstein-Uhlenbeck Price Process
Optimal execution Market impact Liquidity problems Ornstein–Uhlenbeck process Gradual liquidation
2011/9/30
Abstract: We study the optimal execution problem in the presence of market impact and give a generalization of the main result of Kato(2009). Then we consider an example where the security price follo...
The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
Utility Maximization Duality Theory Quadratic Semimartingale BSDEs Stability
2011/8/23
Abstract: This article studies the sensitivity of the power utility maximization problem with respect to the investor's relative risk aversion, the statistical probability measure, the investment cons...
The Least Spanning Area of a Knot and the Optimal Bounding Chain Problem
Least Spanning Area Knot Optimal Bounding Chain Problem
2011/3/2
Two fundamental objects in knot theory are the minimal genus surface and the least area surface bounded by a knot in a 3-dimensional manifold.
Maximising functionals of the joint law of the maximum and terminal value in the Skorokhod embedding problem
functionals of the joint law of the maximum terminal value Skorokhod
2011/2/22
The Skorokhod embedding problem for Brownian motion W is, given a centred probability measure , to nd a stopping time such that W . There exist many classical solutions to this problem, some o...