in this paper we compared multivariate garch models toestimate value-at-risk. we used a portfolio of weekly indexesincluding tedpix, klse, xu100 during ten years. to estimatevalue-at-risk, first we estimated ccc, dcc of engle, dcc of tseand tsui, dynamic equi correlation models by oxmetrics. then,optimum lags were estimated by minimizing the information criteria.to estimate var, the models accu...

A box constrained variational inequality problem can be reformulated as an unconstrained minimization problem through the D-gap function. A hybrid Newton-type method is proposed for minimizing the D-gap function. Under suitable conditions, the algorithm is shown to be globally convergent and locally quadratically convergent. Some numerical results are also presented.

The variational inequality problem (VIP) can be reformulated as an unconstrained minimization problem through the D-gap function. It is proved that the D-gap function has bounded level sets for the strongly monotone VIP. A hybrid Newton-type method is proposed for minimizing the D-gap function. Under some conditions, it is shown that the algorithm is globally convergent and locally quadraticall...

In this article, we consider an unconstrained minimization formulation of the nonlinear complementarity problem NCP(f) when the underlying functions are H-differentiable but not necessarily locally Lipschitzian or directionally differentiable. We show how, under appropriate regularity conditions on an H-differential of f , minimizing the merit function corresponding to f leads to a solution of ...

We consider the optimization problem of minimizing ∫ Ω |∇u| dx with a constrain on the volume of {u > 0}. We consider a penalization problem, and we prove that for small values of the penalization parameter, the constrained volume is attained. In this way we prove that every solution u is locally Lipschitz continuous and that the free boundary, ∂{u > 0} ∩ Ω, is smooth.

The amount of spill code generated by a compiler backend has crucial effects on program performance. Instruction scheduling before register allocation may cause live range overlaps that lead to suboptimal spill code. Even when a local scheduler tries to minimize register usage, its results can leave room for improvement regarding overall spill costs. We present Register Reuse Scheduling (RRS), ...