NUMERICAL METHODS FOR POLYNOMIAL MODELS IN NONLINEAR FACTOR ANALYSIS

Polynomial level-set methods for nonlinear dynamical systems analysis

In this paper, we present a method for computing the domain of attraction for non-linear dynamical systems. We propose a level-set method where sets are represented as sublevel sets of polynomials. The problem of flowing these sets under the advection map of a dynamical system is converted to a semidefinite program, which we use to compute the coefficients of the polynomials. We further address...

Reliable numerical methods for polynomial matrix triangularization

Numerical procedures are proposed for triangularizing polynomial matrices over the eld of polynomial fractions and over the ring of polynomials. They are based on two standard polynomial techniques: Sylvester matrices and interpolation. In contrast to other triangularization methods, the algorithms described in this paper only rely on well-worked numerically reliable tools. They can also be use...

Numerical Methods for Nonlinear PDEs in Finance

Many problems in finance can be posed in terms of an optimal stochastic control. Some well-known examples include transaction cost/uncertain volatility models [17, 2, 25], passport options [1, 26], unequal borrowing/lending costs in option pricing [9], risk control in reinsurance [23], optimal withdrawals in variable annuities[13], optimal execution of trades [20, 19], and asset allocation [28,...

Numerical methods for local models

Numerical methods for distributed models