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Browsing by Author "Li, Yuying"
Now showing items 1736 of 39

Minimizing CVaR and VaR for a portfolio of derivatives
alexander, siddharth; coleman, thomas f.; Li, Yuying (Cornell University, 20040521)Value at risk (VaR) and conditional value at risk (CVaR) are the most frequently used risk measures in current risk management practice. As an alternative to VaR, CVaR is attractive since it is a coherent risk measure. ... 
A Newton Acceleration of the Weiszfeld Algorithm for Minimizing the Sum of Euclidean Distances
Li, Yuying (Cornell University, 199511)The Weiszfeld algorithm for continuous location problems can be considered as an iteratively reweighted least squares method. It exhibits linear convergence. In this paper, a Newton type algorithm with similar simplicity ... 
A Newton Acceleration of the Weiszfeld Algorithm for Minimizing the Sum ofEuclidean Distances
Li, Yuying (Cornell University, 199511)The Weiszfeld algorithm for continuous location problems can be considered as an iteratively reweighted least squares method. It exhibits linear convergence. In this paper, a Newton type algorithm with similar simplicity ... 
A Newton Method for American Option Pricing
Coleman, Thomas F.; Li, Yuying; Verma, Arun (Cornell University, 20030123)The variational inequality formulation provides a mechanism to determine both the option value and the early exercise curve implicitly [17]. Standard finite difference approximation typically leads to linear complementarity ... 
On Global Convergence of a Trust Region and Affine Scaling Method for Nonlinearly Constrained Minimization
Li, Yuying (Cornell University, 199411)(The following contains mathematical formulae and symbols that may become distorted in ASCII text.) A nonlinearly constrained optimization problem can be solved by the exact penalty approach involving non differentiable ... 
On Global Convergence of A Trust Region and Affine Scaling Methodfor Nonlinearly Constrained Minimization
Li, Yuying (Cornell University, 199411)A nonlinearly constrained optimization problem can be solved by the exact penalty approach involving nondifferentiable functions $\sum_{i} c_i(x)$ and $\sum_{i}\max(0,c_i(x))$. In \cite{Li94a}, a trust region affine ... 
On The Convergence of Reflective Newton Methods for LargeScale Nonlinear Minimization Subject to Bounds
Coleman, Thomas F.; Li, Yuying (Cornell University, 199211)We consider a new algorithm, a reflective Newton method, for the problem of minimizing a smooth nonlinear function of many variables, subject to upper and/or lower bounds on some of the variables. This approach generates ... 
On the Convergence of Reflective Newton Methods for Largescale Nonlinear Minimization Subject to Bounds
Coleman, Thomas F.; Li, Yuying (Cornell University, 199211)We consider a new algorithm, a reflective Newton method, for the problem of minimizing a smooth nonlinear function of many variables, subject to upper and/or lower bounds on some of the variables. This approach ... 
Piecewise Differentiable Minimization for Illposed Inverse Problems
Li, Yuying (Cornell University, 199608)Based on minimizing a piece wise differentiable lp function subject to a single inequality constraint, this paper discusses algorithms for a discretized regularization problem for illposed inverse problems. We examine ... 
A QuadraticallyConvergent Algorithm for the Linear Programming Problem with Lower and Upper Bounds
Coleman, Thomas F.; Li, Yuying (Cornell University, 199004)We present a new algorithm to solve linear programming problems with finite lower and upper bounds. This algorithm generates an infinite sequence of points guaranteed to converge to the solution; the ultimate convergence ... 
Reconstructing the Unknown Local Volatility Function
Coleman, Thomas F.; Li, Yuying; Verma, Arun (Cornell University, 20030123)Using market European option prices, a method for computing a smooth local volatility function in a 1factor continuous diffusion model is proposed. Smoothness is introduced to facilitate accurate approximation of the ... 
Reconstructing the unknown volatility function
Coleman, Thomas F; Li, Yuying; Verma, Arun (Cornell University, 199809)Using market European option prices, a method for computing a {\em smooth} local volatility function in a 1factor continuous diffusion model is proposed. Smoothness is introduced to facilitate accurate approximation of ... 
A Reflective Newton Method for Minimizing a Quadratic Function Subject to Bounds on Some of the Variables
Coleman, Thomas F.; Li, Yuying (Cornell University, 199211)We propose a new algorithm, a reflective Newton method, for the minimization of a quadratic function of many variables subject to upper and lower bounds on some of the variables. This method applies to a general ... 
A Reflective Newton Method for Minimizing a Quadratic FunctionSubject to Bounds on Some of The Variables.
Coleman, Thomas F.; Li, Yuying (Cornell University, 199211)We propose a new algorithm, a reflective Newton method, for the minimization of a quadratic function of many variables subject to upper and lower bounds on some of the variables. The method applies to a general (indefinite) ... 
Robustly Hedging Variable Annuities with Guarantees Under Jump and Volatility Risks
Coleman, Thomas; Kim, Yohan; Li, Yuying; Patron, MariaCristina (Cornell University, 20040412)Accurately quantifying and robustly hedging options embedded in the guarantees of variable annuities is a crucial task for insurance companies in preventing excessive liabilities. Due to sensitivities of the benefits to ... 
Segmentation of Pulmonary Nodule Images Using Total Variation Minimization
Coleman, Thomas F.; Li, Yuying; Mariano, Adriano (Cornell University, 20030122)Total variation minimization has edge preserving and enhancing properties which make it suitable for image segmentation. We present Image Simplification, a new formulation and algorithm for image segmentation. We illustrate ... 
Segmentation of Pulmonary Nodule Images Using Total VariationMinimization
Coleman, Thomas F.; Li, Yuying; Mariano, Adrian (Cornell University, 199809)Total variation minimization has edge preserving and enhancing properties which make it suitable for image segmentation. We present Image Simplification, a new formulation and algo rithm for image segmentation. We ... 
Solving $L_{p}$Norm Problems and Applications
Li, Yuying (Cornell University, 199303)The $l_{p}$ norm discrete estimation problem min$_{x\in\Re^{n}} \Vert bA^{T} x\Vert^{p}_{p}$ has been solved in many data analysis applications, e.g. geophysical modeling. Recently, a new globally convergent Newton ... 
A Subspace, Interior, and Conjugate Gradient Method for Largescale Boundconstrained Minimization Problems
Branch, Mary Ann; Coleman, Thomas F.; Li, Yuying (Cornell University, 199507)A subspace adaption of the ColemanLi trust region and interior method is proposed for solving largescale boundconstrained minimization problems. This method can be implemented with either sparse Cholesky factorization ... 
A Subspace, Interior, and Conjugate Gradient Method for LargeScaleBoundConstrained Minimization Problems
Branch, Mary Ann; Coleman, Thomas F.; Li, Yuying (Cornell University, 199507)A subspace adaptation of the ColemanLi trust region and interior method is proposed for solving largescale boundconstrained minimization problems. This method can be implemented with either sparse Cholesky factorization ...