2 papers
math.NA2019
Low-rank updates and divide-and-conquer methods for quadratic matrix equations
Daniel Kressner, Patrick Kürschner, Stefano Massei
In this work, we consider two types of large-scale quadratic matrix equations: Continuous-time algebraic Riccati equations, which play a central role in optimal and robust control,…
q-fin.CP2019
Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
Kathrin Glau, Daniel Kressner, Francesco Statti
Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibra…