An Inverse Problem in American Options as a Mathematical Program with Equilibrium Constraints: C-Stationarity and an Active-Set-Newton Solver.
Michael HintermüllerMoulay Hicham TberPublished in: SIAM J. Control. Optim. (2010)
Keyphrases
- mathematical program
- active set
- mathematical programming
- interior point
- linear programming
- linear constraints
- nonlinear programming
- stationary points
- search procedure
- efficient implementation
- interior point methods
- inequality constraints
- bilevel programming
- quadratic program
- semidefinite programming
- nonnegative matrix factorization
- optimality conditions
- linear program
- optimization problems
- objective function
- linear systems
- primal dual
- convex optimization
- convergence analysis
- kernel function
- simulated annealing
- markov random field
- least squares