The Parareal Algorithm for American Options.
Gilles PagèsOlivier PironneauGuillaume SallPublished in: SIAM J. Financial Math. (2018)
Keyphrases
- computational cost
- k means
- preprocessing
- high accuracy
- cost function
- improved algorithm
- computational complexity
- selection algorithm
- learning algorithm
- np hard
- clustering method
- linear programming
- search space
- dynamic programming
- detection algorithm
- segmentation algorithm
- simulated annealing
- probabilistic model
- times faster
- search strategy
- optimal solution
- objective function
- neural network
- estimation algorithm
- theoretical analysis
- computationally efficient
- particle swarm optimization
- experimental evaluation
- color images
- image segmentation
- genetic algorithm
- machine learning