Numerical solution of an obstacle problem with interval coefficients (Q2178955)

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Numerical solution of an obstacle problem with interval coefficients

scientific article; zbMATH DE number 7199001

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English	Numerical solution of an obstacle problem with interval coefficients	scientific article; zbMATH DE number 7199001

Statements

instance of

scholarly article

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title

Numerical solution of an obstacle problem with interval coefficients (English)

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published in

Numerical Algebra, Control and Optimization

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publication date

12 May 2020

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zbMATH Keywords

large-scale interval optimization

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fuzzy optimization

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obstacle problem under uncertainty

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linear complementarity problem under uncertainty

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multi-objective optimization

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interior penalty method

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author

Song Wang

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3934/naco.2019030

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cites work

Efficient solution of interval optimization problem

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Q3878285

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Multiobjective programming in optimization of interval objective functions -- a generalized approach

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A penalty method for a fractional order parabolic variational inequality governing American put option valuation

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A numerical solution method to interval quadratic programming

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Computation of reservation prices of options with proportional transaction costs

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Finite-Dimensional Variational Inequalities and Complementarity Problems

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Engineering and Economic Applications of Complementarity Problems

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Interior Methods for Nonlinear Optimization

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Q3321366

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Finite element method for hemivariational inequalities. Theory, methods and applications

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A novel approach in uncertain programing. I: New arithmetic and order relation for interval numbers

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A novel approach in uncertain programming. II: A class of constrained nonlinear programming problems with interval objective functions

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A power penalty approach to a nonlinear complementarity problem

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A penalty method for a mixed nonlinear complementarity problem

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Multiobjective programming in optimization of the interval objective function

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On the extension of an arc-search interior-point algorithm for semidefinite optimization

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Fuzzy target-environment networks and fuzzy-regression approaches

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An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs

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Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs

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A numerical scheme for pricing American options with transaction costs under a jump diffusion process

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Smoothing Newton and quasi-Newton methods for mixed complementarity problems

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Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme

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A numerical method for pricing European options with proportional transaction costs

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Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme

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New method for computing the upper bound of optimal value in interval quadratic program

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Adaptive neuro-fuzzy vibration control of a smart plate

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Interior-point methods for nonlinear complementarity problems

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Approximation methods in multiobjective programming

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A penalty method for a finite-dimensional obstacle problem with derivative constraints

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A penalty approach to a discretized double obstacle problem with derivative constraints

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An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem

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A power penalty method for linear complementarity problems

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Power penalty method for a linear complementarity problem arising from American option valuation

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An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering

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A superconvergent fitted finite volume method for Black-Scholes equations governing European and American option valuation

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The Karush-Kuhn-Tucker optimality conditions in multiobjective programming problems with interval-valued objective functions

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Convergence property of an interior penalty approach to pricing American option

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Identifiers

Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2178955