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A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension.
René Aïd
Luciano Campi
Nicolas Langrené
Huyên Pham
Published in:
SIAM J. Financial Math. (2014)
Keyphrases
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numerical methods
high dimension
dynamic programming
optimal solution
medical images
differential equations
computer vision
image processing
worst case
latent variables
real valued
input space
small sample
boundary element method