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Apidopoulos Vassilis Aujol Jean-François Dossal Charles 《Mathematical Programming》2020,180(1-2):137-156
Mathematical Programming - In this paper we study the convergence of an Inertial Forward–Backward algorithm, with a particular choice of an over-relaxation term. In particular we show that... 相似文献
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Christophe Barrera-Esteve Florent Bergeret Charles Dossal Emmanuel Gobet Asma Meziou Rémi Munos Damien Reboul-Salze 《Methodology and Computing in Applied Probability》2006,8(4):517-540
In the natural gas market, many derivative contracts have a large degree of flexibility. These are known as Swing or Take-Or-Pay options. They allow their owner to purchase gas daily, at a fixed price and according to a volume of their choice. Daily,
monthly and/or annual constraints on the purchased volume are usually incorporated. Thus, the valuation of such contracts
is related to a stochastic control problem, which we solve in this paper using new numerical methods. Firstly, we extend the
Longstaff–Schwarz methodology (originally used for Bermuda options) to our case. Secondly, we propose two efficient parameterizations
of the gas consumption, one is based on neural networks and the other on finite elements. It allows us to derive a local optimal
consumption law using a stochastic gradient ascent. Numerical experiments illustrate the efficiency of these approaches. Furthermore,
we show that the optimal purchase is of bang-bang type.
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A numerical exploration of compressed sampling recovery 总被引:2,自引:0,他引:2
This paper explores numerically the efficiency of ?1 minimization for the recovery of sparse signals from compressed sampling measurements in the noiseless case. This numerical exploration is driven by a new greedy pursuit algorithm that computes sparse vectors that are difficult to recover by ?1 minimization. The supports of these pathological vectors are also used to select sub-matrices that are ill-conditioned. This allows us to challenge theoretical identifiability criteria based on polytopes analysis and on restricted isometry conditions. We evaluate numerically the theoretical analysis without resorting to Monte-Carlo sampling, which tends to avoid worst case scenarios. 相似文献
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