Matrix functions, such as the exponential, square root and cosine, play an indispensable role in various fields including quantum mechanics, control theory and numerical solution of differential ...

The classical approximations to some discrete distributions are almost universally used. However, more accurate results can be obtained without any substantial increase of computational effort. This ...

L. Jeff Hong, Yi Yang, Liwei Zhang, Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach, Operations Research, Vol. 59, No. 3 (May • June • 2011), pp. 617-630 ...

Integral Approximations An important part of the marginal maximum likelihood method described previously is the computation of the integral over the random effects. The default method in PROC NLMIXED ...

Lakkaraju, Himabindu, Ece Kamar, Rich Caruana, and Jure Leskovec. "Interpretable and Explorable Approximations of Black Box Models." Paper presented at the 4th Workshop on Fairness, Accountability, ...

Computing derivatives by finite-difference approximations can be very time consuming, especially for second-order derivatives based only on values of the objective function (FD= option). If analytical ...

In research area C, we will focus on the development and foundation of mathematical models and their approximations that are relevant in the life sciences, physics, chemistry, and engineering. We will ...

ABSTRACT This paper presents a new numerical method to solve the integral equation defining the early exercise boundary of an American option. It is shown that the early exercise boundaries of ...