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Revisiting Semidefinite Programming Approaches to Options Pricing: Complexity and Computational Perspectives.
Didier Henrion
Felix Kirschner
Etienne de Klerk
Milan Korda
Jean-Bernard Lasserre
Victor Magron
Published in:
INFORMS J. Comput. (2023)
Keyphrases
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semidefinite programming
linear programming
semidefinite
interior point methods
machine learning
computational complexity
kernel matrix
similarity measure
dynamic programming
probabilistic model
convergence rate
primal dual