Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm.
Jun-ya GotohHiroshi KonnoPublished in: Manag. Sci. (2002)
Keyphrases
- semidefinite programming
- cutting plane algorithm
- maximum margin
- linear programming
- support vector
- integer programming
- interior point methods
- cutting plane
- markov networks
- hyperplane
- semidefinite
- learning algorithm
- upper bound
- pattern classification
- valid inequalities
- interior point
- support vector machine
- convex programming
- multi task
- column generation
- maximum likelihood
- linear program
- kernel matrix
- generalization error
- multiple kernel learning
- primal dual
- dimensionality reduction
- np hard
- bayesian networks
- decision trees