Li Yuying

Yuying Li

Information about the author Yuying Li will soon be added to the site.
Found 4 papers in total
Stable local volatility function calibration using spline kernel
Stable local volatility function calibration using spline kernel
2013
We propose an optimization formulation using the l 1 norm to ensure accuracy and...
Regularized robust optimization: the optimal portfolio execution case
Regularized robust optimization: the optimal portfolio execution case
2013
An uncertainty set is a crucial component in robust optimization. Unfortunately, it is...
On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds
On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds
1994
The authors consider a new algorithm, an interior-reflective Newton approach, for the...
A globally and quadratically convergent affine scaling method for linear .
A globally and quadratically convergent affine scaling method for linear .
1992
Recently, various interior point algorithms related to the Karmarkar algorithm have...
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