66 citations · 187 across the 28 of their papers we have counts for
3 papers · 2 filters
Revisiting semidefinite programming approaches to options pricing: complexity and computational perspectives
Didier Henrion, Felix Kirschner, Etienne de Klerk +3
In this paper we consider the problem of finding bounds on the prices of options depending on multiple assets without assuming any underlying model on the price dynamics, but only…
On the rate of convergence of the Difference-of-Convex Algorithm (DCA)
Hadi Abbaszadehpeivasti, Etienne de Klerk, Moslem Zamani
In this paper, we study the convergence rate of the DCA (Difference-of-Convex Algorithm), also known as the convex-concave procedure, with two different termination criteria that a…
The exact worst-case convergence rate of the gradient method with fixed step lengths for L-smooth functions
Hadi Abbaszadehpeivasti, Etienne de Klerk, Moslem Zamani
In this paper, we study the convergence rate of the gradient (or steepest descent) method with fixed step lengths for finding a stationary point of an -smooth function. We estab…