An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree.
Berend RoordaPublished in: Ann. Oper. Res. (2010)
Keyphrases
- tree structure
- learning algorithm
- k means
- times faster
- detection algorithm
- preprocessing
- experimental evaluation
- optimization algorithm
- minimum spanning tree
- dynamic programming
- computational cost
- np hard
- convergence rate
- optimal solution
- segmentation algorithm
- matching algorithm
- particle swarm optimization
- cost function
- computational complexity
- objective function
- spanning tree
- shortest path problem
- binary tree
- genetic algorithm
- root node
- shortest path
- expectation maximization
- linear programming
- simulated annealing
- high accuracy
- state space
- significant improvement
- search space
- data structure