Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs.
Pawel PrzybylowiczVerena SchwarzMichaela SzölgyenyiPublished in: J. Comput. Appl. Math. (2024)
Keyphrases
- optimal solution
- computational complexity
- closed form
- linear programming
- preprocessing
- dynamic programming
- benchmark problems
- greedy algorithms
- experimental evaluation
- computational cost
- decision trees
- computational efficiency
- greedy algorithm
- convex hull
- recognition algorithm
- times faster
- improved algorithm
- global solution
- optimal or near optimal
- theoretical analysis
- computationally efficient
- expectation maximization
- input data
- simulated annealing
- high accuracy
- k means
- search space
- optimization criteria
- polygonal approximation
- randomized algorithm
- learning algorithm
- approximation schemes
- solution space
- convergence rate
- matching algorithm
- clustering method
- objective function
- similarity measure