Penalty Method
نویسنده
چکیده
منابع مشابه
Valuation of installment option by penalty method
In this paper, installment options on the underlying asset which evolves according to Black-Scholes model and pays constant dividend to its owner will be considered. Applying arbitrage pricing theory, the non-homogeneous parabolic partial differential equation governing the value of installment option is derived. Then, penalty method is used to value the European continuous installment call opt...
متن کاملPENALTY METHOD FOR UNILATERAL CONTACT PROBLEM WITH COULOMB’S FRICTION FOR LOCKING MATERIAL
In this work, we study a unilateral contact problem with non local friction of Coulombbetween a locking material and a rigid foundation. In the first step , we present the mathematicalmodel for a static process, we establish the variational formulation in the form of a variationalinequality and we prove the existence and uniqueness of the solution. In the second step, usingthe penalty method we...
متن کاملUsing an Efficient Penalty Method for Solving Linear Least Square Problem with Nonlinear Constraints
In this paper, we use a penalty method for solving the linear least squares problem with nonlinear constraints. In each iteration of penalty methods for solving the problem, the calculation of projected Hessian matrix is required. Given that the objective function is linear least squares, projected Hessian matrix of the penalty function consists of two parts that the exact amount of a part of i...
متن کاملSuperlinearly convergent exact penalty projected structured Hessian updating schemes for constrained nonlinear least squares: asymptotic analysis
We present a structured algorithm for solving constrained nonlinear least squares problems, and establish its local two-step Q-superlinear convergence. The approach is based on an adaptive structured scheme due to Mahdavi-Amiri and Bartels of the exact penalty method of Coleman and Conn for nonlinearly constrained optimization problems. The structured adaptation also makes use of the ideas of N...
متن کاملThe Integration of Multi-Factor Model of Capital Asset Pricing and Penalty Function for Stock Return Evaluation
One of the main concerns of investors is the evaluation of the return on investment, which is conducted using various models such as the CAPM (single-factor model), Fama-French three/five-factor models, and Roy and Shijin’s six-factor model and other models known as multi-factor models. Despite the widespread use of these models, their major drawbacks include sensitivity to unexpected changes, ...
متن کاملبررسی تحلیل دینامیکی و تصحیح قیود تماس نقطه به وجه با استفاده از روش لاگرانژ
In this paper, first the validity of 3-D DDA is examined by comparing its solution for dynamic block displacement with analytical solution. Displacement of a single block on an inclined plane subjected to a dynamic loading is studied for analytical solution with respect to the frictional resistance offered by the inclined slope. 3-D DDA predicts accurately the analytical displacements. The modi...
متن کامل