Nonlinear Optimization with Financial ApplicationsNonlinear Optimization with Financial Applications



This instructive book introduces the key ideas behind practical nonlinear optimization, accompanied by computational examples and supporting software.

Author: Michael Bartholomew-Biggs

Publisher: Springer Science & Business Media

ISBN: 9780387241494

Category:

Page: 261

View: 759

This instructive book introduces the key ideas behind practical nonlinear optimization, accompanied by computational examples and supporting software. It combines computational finance with an important class of numerical techniques.
This instructive book introduces the key ideas behind practical nonlinear optimization, accompanied by computational examples and supporting software. It combines computational finance with an important class of numerical techniques.

Nonlinear Optimization with Engineering ApplicationsNonlinear Optimization with Engineering Applications



The book will also appeal to postdocs and advanced researchers interested in the development and use of optimization algorithms.

Author: Michael Bartholomew-Biggs

Publisher: Springer Science & Business Media

ISBN: 9780387787237

Category:

Page: 280

View: 546

This textbook examines a broad range of problems in science and engineering, describing key numerical methods applied to real life. The case studies presented are in such areas as data fitting, vehicle route planning and optimal control, scheduling and resource allocation, sensitivity calculations and worst-case analysis. Chapters are self-contained with exercises provided at the end of most sections. Nonlinear Optimization with Engineering Applications is ideal for self-study and classroom use in engineering courses at the senior undergraduate or graduate level. The book will also appeal to postdocs and advanced researchers interested in the development and use of optimization algorithms.

Introduction to the Theory of Nonlinear OptimizationIntroduction to the Theory of Nonlinear Optimization



29. 30. 31. 32. 33. 34. 22. J.F. Bard, Practical bilevel optimization - algorithms and
applications (Springer, 1999). 23. 24. M. Bartholomew-Biggs, Nonlinear
optimization with financial applications (Springer, 2005). M.S. Bazaraa and C.M.
Shetty, ...

Author: Johannes Jahn

Publisher: Springer Nature

ISBN: 9783030427603

Category:

Page: 323

View: 772

This book serves as an introductory text to optimization theory in normed spaces and covers all areas of nonlinear optimization. It presents fundamentals with particular emphasis on the application to problems in the calculus of variations, approximation and optimal control theory. The reader is expected to have a basic knowledge of linear functional analysis.

Linear and Nonlinear OptimizationLinear and Nonlinear Optimization



The succinct style of this second edition is punctuated with numerous real-life examples and exercises, and the authors include accessible explanations of topics that are not often mentioned in textbooks, such as duality in nonlinear ...

Author: Igor Griva

Publisher: SIAM

ISBN: 9780898717730

Category:

Page: 742

View: 917

Provides an introduction to the applications, theory, and algorithms of linear and nonlinear optimization. The emphasis is on practical aspects - discussing modern algorithms, as well as the influence of theory on the interpretation of solutions or on the design of software. The book includes several examples of realistic optimization models that address important applications. The succinct style of this second edition is punctuated with numerous real-life examples and exercises, and the authors include accessible explanations of topics that are not often mentioned in textbooks, such as duality in nonlinear optimization, primal-dual methods for nonlinear optimization, filter methods, and applications such as support-vector machines. The book is designed to be flexible. It has a modular structure, and uses consistent notation and terminology throughout. It can be used in many different ways, in many different courses, and at many different levels of sophistication.

Nonlinear Optimization and Related TopicsNonlinear Optimization and Related Topics



This volume contains the edited texts of the lectures presented at the Workshop on Nonlinear Optimization held in Erice, Sicily, at the "G. Stampacchia" School of Mathematics of the "E. Majorana" Centre for Scientific Culture, June 23 -July ...

Author: Gianni Pillo

Publisher: Springer Science & Business Media

ISBN: 0792361091

Category:

Page: 487

View: 745

This volume contains the edited texts of the lectures presented at the Workshop on Nonlinear Optimization held in Erice, Sicily, at the "G. Stampacchia" School of Mathematics of the "E. Majorana" Centre for Scientific Culture, June 23 -July 2, 1998. In the tradition of these meetings, the main purpose was to review and discuss recent advances and promising research trends concerning theory, algorithms and innovative applications in the field of Nonlinear Optimization, and of related topics such as Convex Optimization, Nonsmooth Optimization, Variational Inequalities and Complementarity Problems. The meeting was attended by 83 people from 21 countries. Besides the lectures, several formal and informal discussions took place. The result was a wide and deep knowledge of the present research tendencies in the field. We wish to express our appreciation for the active contribution of all the par ticipants in the meeting. Our gratitude is due to the Ettore Majorana Centre in Erice, which offered its facilities and rewarding environment: its staff was certainly instrumental for the success of the meeting. Our gratitude is also due to Francisco Facchinei and Massimo Roma for the effort and time devoted as members of the Organising Committee. We are indebted to the Italian National Research Council, and in particular to the Group on Functional Analysis and its Applications and to the Committees on Engineering Sciences and on Information Sciences and Technolo gies for their financial support. Finally, we address our thanks to Kluwer Academic Publishers for having offered to publish this volume.

Introduction to Nonlinear OptimizationIntroduction to Nonlinear Optimization



This book provides the foundations of the theory of nonlinear optimization as well as some related algorithms and presents a variety of applications from diverse areas of applied sciences.

Author: Amir Beck

Publisher: SIAM

ISBN: 9781611973648

Category:

Page: 282

View: 670

This book provides the foundations of the theory of nonlinear optimization as well as some related algorithms and presents a variety of applications from diverse areas of applied sciences. The author combines three pillars of optimization?theoretical and algorithmic foundation, familiarity with various applications, and the ability to apply the theory and algorithms on actual problems?and rigorously and gradually builds the connection between theory, algorithms, applications, and implementation. Readers will find more than 170 theoretical, algorithmic, and numerical exercises that deepen and enhance the reader's understanding of the topics. The author includes offers several subjects not typically found in optimization books?for example, optimality conditions in sparsity-constrained optimization, hidden convexity, and total least squares. The book also offers a large number of applications discussed theoretically and algorithmically, such as circle fitting, Chebyshev center, the Fermat?Weber problem, denoising, clustering, total least squares, and orthogonal regression and theoretical and algorithmic topics demonstrated by the MATLAB? toolbox CVX and a package of m-files that is posted on the book?s web site.

InterfacesInterfaces



Optimization Modeling with Spreadsheets. 608-615. Reviewed by Jeffrey D.
Camm. Bartholomew-Biggs, Michael. 2005. Nonlinear Optimization with
Financial Applications. 176-185. Reviewed by Amitrajeet A. Batabyal. Bazargan,
Massoud.

Author:

Publisher:

ISBN: STANFORD:36105122659357

Category:

Page:

View: 273

Seeks to improve communication between managers and professionals in OR/MS.

Linear and Nonlinear ProgrammingLinear and Nonlinear Programming



The book connects the purely analytical character of an optimization problem, and the behavior of algorithms used to solve it. Now, the third edition has been completely updated with recent Optimization Methods.

Author: David G. Luenberger

Publisher: Springer Science & Business Media

ISBN: 9780387745022

Category:

Page: 546

View: 983

This third edition of the classic textbook in Optimization has been fully revised and updated. It comprehensively covers modern theoretical insights in this crucial computing area, and will be required reading for analysts and operations researchers in a variety of fields. The book connects the purely analytical character of an optimization problem, and the behavior of algorithms used to solve it. Now, the third edition has been completely updated with recent Optimization Methods. The book also has a new co-author, Yinyu Ye of California’s Stanford University, who has written lots of extra material including some on Interior Point Methods.

Optimization in Economics and FinanceOptimization in Economics and Finance



Their applications to these areas are shown in this book.

Author: Bruce D. Craven

Publisher: Springer Science & Business Media

ISBN: 9780387242804

Category:

Page: 161

View: 136

Some recent developments in the mathematics of optimization, including the concepts of invexity and quasimax, have not yet been applied to models of economic growth, and to finance and investment. Their applications to these areas are shown in this book.

Nonlinear OptimizationNonlinear Optimization



Based on a decade's worth of notes the author compiled in successfully teaching the subject, this book will help readers to understand the mathematical foundations of the modern theory and methods of nonlinear optimization and to analyze ...

Author: Andrzej Ruszczynski

Publisher: Princeton University Press

ISBN: 9781400841059

Category:

Page: 464

View: 906

Optimization is one of the most important areas of modern applied mathematics, with applications in fields from engineering and economics to finance, statistics, management science, and medicine. While many books have addressed its various aspects, Nonlinear Optimization is the first comprehensive treatment that will allow graduate students and researchers to understand its modern ideas, principles, and methods within a reasonable time, but without sacrificing mathematical precision. Andrzej Ruszczynski, a leading expert in the optimization of nonlinear stochastic systems, integrates the theory and the methods of nonlinear optimization in a unified, clear, and mathematically rigorous fashion, with detailed and easy-to-follow proofs illustrated by numerous examples and figures. The book covers convex analysis, the theory of optimality conditions, duality theory, and numerical methods for solving unconstrained and constrained optimization problems. It addresses not only classical material but also modern topics such as optimality conditions and numerical methods for problems involving nondifferentiable functions, semidefinite programming, metric regularity and stability theory of set-constrained systems, and sensitivity analysis of optimization problems. Based on a decade's worth of notes the author compiled in successfully teaching the subject, this book will help readers to understand the mathematical foundations of the modern theory and methods of nonlinear optimization and to analyze new problems, develop optimality theory for them, and choose or construct numerical solution methods. It is a must for anyone seriously interested in optimization.

Probabilistic Constrained OptimizationProbabilistic Constrained Optimization



This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability ...

Author: Stanislav Uryasev

Publisher: Springer Science & Business Media

ISBN: 0792366441

Category:

Page: 307

View: 777

Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.

Regression Modeling with Actuarial and Financial ApplicationsRegression Modeling with Actuarial and Financial Applications



Although we do not go into the details here, finding these optimal coefficients is a
simple optimization problem in nonlinear programming that can be readily
implemented in statistical software. Because this procedure uses the absolute
value ...

Author: Edward W. Frees

Publisher: Cambridge University Press

ISBN: 9780521760119

Category:

Page: 565

View: 504

This book teaches multiple regression and time series and how to use these to analyze real data in risk management and finance.

Mathematical ReviewsMathematical Reviews



65N38 ( 65N22 ) - * Nonlinear optimization with financial applications . Kluwer
Academic Publishers , Boston , MA , 2005 . xviii + 261 pp . ISBN 1 - 4020 - 8110 -
3 ( K . Zimmermann ) 2005h : 90002 90 - 01 ( 90 - 02 , 90C30 , 91 - 01 , 91B28 ) ...

Author:

Publisher:

ISBN: UVA:X006195255

Category:

Page:

View: 685

Practical Methods of OptimizationPractical Methods of Optimization



This edition offers revised coverage of basic theory and standard techniques, with updated discussions of line search methods, Newton and quasi-Newton methods, and conjugate direction methods, as well as a comprehensive treatment of ...

Author: R. Fletcher

Publisher: John Wiley & Sons

ISBN: 9781118723180

Category:

Page: 456

View: 923

Fully describes optimization methods that are currently most valuable in solving real-life problems. Since optimization has applications in almost every branch of science and technology, the text emphasizes their practical aspects in conjunction with the heuristics useful in making them perform more reliably and efficiently. To this end, it presents comparative numerical studies to give readers a feel for possibile applications and to illustrate the problems in assessing evidence. Also provides theoretical background which provides insights into how methods are derived. This edition offers revised coverage of basic theory and standard techniques, with updated discussions of line search methods, Newton and quasi-Newton methods, and conjugate direction methods, as well as a comprehensive treatment of restricted step or trust region methods not commonly found in the literature. Also includes recent developments in hybrid methods for nonlinear least squares; an extended discussion of linear programming, with new methods for stable updating of LU factors; and a completely new section on network programming. Chapters include computer subroutines, worked examples, and study questions.

Cornell University Courses of StudyCornell University Courses of Study



Students will be instructed in the use of MATLAB and R software ; prior
knowledge of MATLAB is helpful but not required . This course is intended for M.
Eng . students in financial engineering and assumes some familiarity with finance
and financial engineering . Students ... Introduces nonlinear programming ,
interior - point methods for linear programming , complexity theory , and integer
programming .

Author: Cornell University

Publisher:

ISBN: CORNELL:31924097790251

Category:

Page:

View: 384

Convexification and Global Optimization in Continuous and Mixed Integer Nonlinear ProgrammingConvexification and Global Optimization in Continuous and Mixed Integer Nonlinear Programming



The aim of this book is to marry the advancements in solving nonlinear and integer programming models and to develop new results in the more general framework of mixed-integer nonlinear programs (MINLPs) with the goal of devising ...

Author: Mohit Tawarmalani

Publisher: Springer Science & Business Media

ISBN: 9781475735321

Category:

Page: 478

View: 924

Interest in constrained optimization originated with the simple linear pro gramming model since it was practical and perhaps the only computationally tractable model at the time. Constrained linear optimization models were soon adopted in numerous application areas and are perhaps the most widely used mathematical models in operations research and management science at the time of this writing. Modelers have, however, found the assumption of linearity to be overly restrictive in expressing the real-world phenomena and problems in economics, finance, business, communication, engineering design, computational biology, and other areas that frequently demand the use of nonlinear expressions and discrete variables in optimization models. Both of these extensions of the linear programming model are NP-hard, thus representing very challenging problems. On the brighter side, recent advances in algorithmic and computing technology make it possible to re visit these problems with the hope of solving practically relevant problems in reasonable amounts of computational time. Initial attempts at solving nonlinear programs concentrated on the de velopment of local optimization methods guaranteeing globality under the assumption of convexity. On the other hand, the integer programming liter ature has concentrated on the development of methods that ensure global optima. The aim of this book is to marry the advancements in solving nonlinear and integer programming models and to develop new results in the more general framework of mixed-integer nonlinear programs (MINLPs) with the goal of devising practically efficient global optimization algorithms for MINLPs.

New Time Series Applications in Business and FinanceNew Time Series Applications in Business and Finance



There are nonlinear optimization programs to obtain maximum likelihood
estimates of the parameters . Besides , one may apply the Newton - Raphson
method or the method of scoring to obtain the maximum likelihood estimate . If ñ
is the ...

Author: Wing-Keung Wong

Publisher:

ISBN: WISC:89031814312

Category:

Page: 360

View: 811

Goal Programming Methodology and ApplicationsGoal Programming Methodology and Applications



Goal Programming Applications in Accounting 74 Goal Programming Applications in Agriculture 76 Goal Programming Applications in Economics 78 Goal Programming Applications in Engineering 79 Goal Programming Applications in Finance 80 Goal ...

Author: Marc Schniederjans

Publisher: Springer Science & Business Media

ISBN: 0792395581

Category:

Page: 219

View: 472

Goal Programming Applications in Accounting 74 Goal Programming Applications in Agriculture 76 Goal Programming Applications in Economics 78 Goal Programming Applications in Engineering 79 Goal Programming Applications in Finance 80 Goal Programming Applications in Government 83 Goal Programming Applications in an International Context 88 Goal Programming Applications in Management 90 Goal Programming Applications in Marketing 97 Summary 98 CHAPTER 5. FUTURE TRENDS IN GOAL PROORAMMING 101 GP is Positioned for Growth 101 Shifting the Life Cycle of GP Research to Growth 103 Summary 107 Reference 108 APPENDIX A TEXTBOOKS, READINGS BOOKS AND MONOORAPHS ON GOAL PROORAMMING 109 APPENDIX B. JOURNAL RESEARCH PUBLICATIONS ON GOAL PROORAMMING 113 INDEX 213 viii LIST OF FIGURES Figure 1-1. Summary Relationship of GP with MS/OR and MCDM Figure 1-2. Frequency Distribution for GP Journal Publications Figure 1-3. Life Cycle ofGP Research Figure 2-1. Set of GP Efficient Solutions Figure 5-1. Life Cycle of GP Research ix LIST OF TABLES Table 1-1. MS/OR Topics and Their Related GP Topics Table 1-2. MCDM Subareas and Their Related GP Topics Table 1-3. Frequency Listing ofGP Journal Publications and Book Titles Table 2-1. Solutions for a Dominated GP Problem Table 2-2. Conversion ofLP Constraints to Goal Constraints Table 2-3. GP Citations on Dominance, Inferiority and Inefficiency Table 2-4. GP Citations on Relative Weighting, Prioritization and Incommensurability Table 2-5. MS/OR Topics and Their Related GP Topics Table 3-1. Citations on WeightedlPreemptive GP Methodology Table 3-2. Citations on Pure/Mixed Integer GP Methodology Table 3-3.

Nonlinear Programming Techniques for EquilibriaNonlinear Programming Techniques for Equilibria



This book considers a range of problems in operations research, which are formulated through various mathematical models such as complementarity, variational inequalities, multiobjective optimization, fixed point problems, noncooperative ...

Author: Giancarlo Bigi

Publisher: Springer

ISBN: 9783030002053

Category:

Page: 120

View: 921

This book considers a range of problems in operations research, which are formulated through various mathematical models such as complementarity, variational inequalities, multiobjective optimization, fixed point problems, noncooperative games and inverse optimization. Moreover, the book subsumes all these models under a common structure that allows them to be formulated in a unique format: the Ky Fan inequality. It subsequently focuses on this unifying equilibrium format, providing a comprehensive overview of the main theoretical results and solution algorithms, together with a wealth of applications and numerical examples. Particular emphasis is placed on the role of nonlinear optimization techniques – e.g. convex optimization, nonsmooth calculus, proximal point and descent algorithms – as valuable tools for analyzing and solving Ky Fan inequalities.