Nonlinear Optimization With Financial Applications
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Nonlinear Optimization With Financial Applications
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Author : Michael Bartholomew-Biggs
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-07-21
Nonlinear Optimization With Financial Applications written by Michael Bartholomew-Biggs and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-07-21 with Mathematics categories.
The book introduces the key ideas behind practical nonlinear optimization. Computational finance – an increasingly popular area of mathematics degree programs – is combined here with the study of an important class of numerical techniques. The financial content of the book is designed to be relevant and interesting to specialists. However, this material – which occupies about one-third of the text – is also sufficiently accessible to allow the book to be used on optimization courses of a more general nature. The essentials of most currently popular algorithms are described, and their performance is demonstrated on a range of optimization problems arising in financial mathematics. Theoretical convergence properties of methods are stated, and formal proofs are provided in enough cases to be instructive rather than overwhelming. Practical behavior of methods is illustrated by computational examples and discussions of efficiency, accuracy and computational costs. Supporting software for the examples and exercises is available (but the text does not require the reader to use or understand these particular codes). The author has been active in optimization for over thirty years in algorithm development and application and in teaching and research supervision.
Nonlinear Optimization With Financial Applications
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Author : Michael Bartholomew-Biggs
language : en
Publisher: Springer
Release Date : 2008-11-01
Nonlinear Optimization With Financial Applications written by Michael Bartholomew-Biggs and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-11-01 with Mathematics categories.
This instructive book introduces the key ideas behind practical nonlinear optimization, accompanied by computational examples and supporting software. It combines computational finance with an important class of numerical techniques.
Introduction To Nonlinear Optimization
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Author : Amir Beck
language : en
Publisher: SIAM
Release Date : 2014-10-27
Introduction To Nonlinear Optimization written by Amir Beck and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-27 with Mathematics categories.
This book provides the foundations of the theory of nonlinear optimization as well as some related algorithms and presents a variety of applications from diverse areas of applied sciences. The author combines three pillars of optimization?theoretical and algorithmic foundation, familiarity with various applications, and the ability to apply the theory and algorithms on actual problems?and rigorously and gradually builds the connection between theory, algorithms, applications, and implementation. Readers will find more than 170 theoretical, algorithmic, and numerical exercises that deepen and enhance the reader's understanding of the topics. The author includes offers several subjects not typically found in optimization books?for example, optimality conditions in sparsity-constrained optimization, hidden convexity, and total least squares. The book also offers a large number of applications discussed theoretically and algorithmically, such as circle fitting, Chebyshev center, the Fermat?Weber problem, denoising, clustering, total least squares, and orthogonal regression and theoretical and algorithmic topics demonstrated by the MATLAB? toolbox CVX and a package of m-files that is posted on the book?s web site.
Optimization In Economics And Finance
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Author : Bruce D. Craven
language : en
Publisher: Springer
Release Date : 2011-01-05
Optimization In Economics And Finance written by Bruce D. Craven and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-05 with Business & Economics categories.
Some recent developments in the mathematics of optimization, including the concepts of invexity and quasimax, have not yet been applied to models of economic growth, and to finance and investment. Their applications to these areas are shown in this book.
Introduction To Nonlinear And Global Optimization
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Author : Eligius M.T. Hendrix
language : en
Publisher: Springer
Release Date : 2010-04-27
Introduction To Nonlinear And Global Optimization written by Eligius M.T. Hendrix and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-04-27 with Mathematics categories.
Nonlinear Optimization is an intriguing area of study where mathematical theory, algorithms and applications converge to calculate the optimal values of continuous functions. Within this subject, Global Optimization aims at finding global optima for difficult problems in which many local optima might exist. This book provides a compelling introduction to global and non-linear optimization providing interdisciplinary readers with a strong background to continue their studies into these and other related fields. The book offers insight in relevant concepts such as "region of attraction" and "Branch-and-Bound" by elaborating small numerical examples and exercises for the reader to follow.
Introduction To The Theory Of Nonlinear Optimization
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Author : Johannes Jahn
language : en
Publisher: Springer Nature
Release Date : 2020-07-02
Introduction To The Theory Of Nonlinear Optimization written by Johannes Jahn and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-02 with Business & Economics categories.
This book serves as an introductory text to optimization theory in normed spaces and covers all areas of nonlinear optimization. It presents fundamentals with particular emphasis on the application to problems in the calculus of variations, approximation and optimal control theory. The reader is expected to have a basic knowledge of linear functional analysis.
Linear And Nonlinear Optimization
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Author : Richard W. Cottle
language : en
Publisher: Springer
Release Date : 2017-06-11
Linear And Nonlinear Optimization written by Richard W. Cottle and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-11 with Business & Economics categories.
This textbook on Linear and Nonlinear Optimization is intended for graduate and advanced undergraduate students in operations research and related fields. It is both literate and mathematically strong, yet requires no prior course in optimization. As suggested by its title, the book is divided into two parts covering in their individual chapters LP Models and Applications; Linear Equations and Inequalities; The Simplex Algorithm; Simplex Algorithm Continued; Duality and the Dual Simplex Algorithm; Postoptimality Analyses; Computational Considerations; Nonlinear (NLP) Models and Applications; Unconstrained Optimization; Descent Methods; Optimality Conditions; Problems with Linear Constraints; Problems with Nonlinear Constraints; Interior-Point Methods; and an Appendix covering Mathematical Concepts. Each chapter ends with a set of exercises. The book is based on lecture notes the authors have used in numerous optimization courses the authors have taught at Stanford University. It emphasizes modeling and numerical algorithms for optimization with continuous (not integer) variables. The discussion presents the underlying theory without always focusing on formal mathematical proofs (which can be found in cited references). Another feature of this book is its inclusion of cultural and historical matters, most often appearing among the footnotes. "This book is a real gem. The authors do a masterful job of rigorously presenting all of the relevant theory clearly and concisely while managing to avoid unnecessary tedious mathematical details. This is an ideal book for teaching a one or two semester masters-level course in optimization – it broadly covers linear and nonlinear programming effectively balancing modeling, algorithmic theory, computation, implementation, illuminating historical facts, and numerous interesting examples and exercises. Due to the clarity of the exposition, this book also serves as a valuable reference for self-study." Professor Ilan Adler, IEOR Department, UC Berkeley "A carefully crafted introduction to the main elements and applications of mathematical optimization. This volume presents the essential concepts of linear and nonlinear programming in an accessible format filled with anecdotes, examples, and exercises that bring the topic to life. The authors plumb their decades of experience in optimization to provide an enriching layer of historical context. Suitable for advanced undergraduates and masters students in management science, operations research, and related fields." Michael P. Friedlander, IBM Professor of Computer Science, Professor of Mathematics, University of British Columbia
Nonlinear Programming
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Author : Lorenz T. Biegler
language : en
Publisher: SIAM
Release Date : 2010-10-14
Nonlinear Programming written by Lorenz T. Biegler and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10-14 with Science categories.
A comprehensive treatment of nonlinear programming concepts and algorithms, especially as they apply to challenging applications in chemical process engineering.
The Art Of Nonlinear Theory And Application In Constrained Optimization
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Author : Pasquale De Marco
language : en
Publisher: Pasquale De Marco
Release Date :
The Art Of Nonlinear Theory And Application In Constrained Optimization written by Pasquale De Marco and has been published by Pasquale De Marco this book supported file pdf, txt, epub, kindle and other format this book has been release on with Mathematics categories.
**The Art of Nonlinear: Theory and Application in Constrained Optimization** provides a comprehensive and up-to-date treatment of the theory and applications of nonlinear programming, a powerful tool for solving a wide range of optimization problems that arise in various fields. This book begins with an overview of the basic concepts and definitions of nonlinear programming, including constrained optimization problems, convex sets, and convex functions. It then delves into the optimality conditions for nonlinear programming problems, including first-order and second-order conditions, as well as duality theory. The book also covers a variety of numerical methods for solving nonlinear programming problems, including unconstrained optimization methods, constrained optimization methods, interior-point methods, and sequential quadratic programming. These methods are presented in detail, with a focus on their strengths and weaknesses. In addition to the theoretical and algorithmic aspects of nonlinear programming, the book also explores a wide range of applications of nonlinear programming in various fields, including machine learning, engineering, economics, finance, and other fields. The book provides detailed examples and case studies to illustrate how nonlinear programming can be used to solve real-world problems. Written in a clear and accessible style, this book is intended for a broad audience of readers, including students, researchers, and practitioners in various fields. It is assumed that the reader has a basic understanding of linear algebra, calculus, and probability theory. With its comprehensive coverage of the theory and applications of nonlinear programming, **The Art of Nonlinear** is an essential resource for anyone who wants to learn more about this important field of optimization. If you like this book, write a review!
Nonlinear Optimization With Engineering Applications
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Author : Michael Bartholomew-Biggs
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-12-16
Nonlinear Optimization With Engineering Applications written by Michael Bartholomew-Biggs and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12-16 with Mathematics categories.
This textbook examines a broad range of problems in science and engineering, describing key numerical methods applied to real life. The case studies presented are in such areas as data fitting, vehicle route planning and optimal control, scheduling and resource allocation, sensitivity calculations and worst-case analysis. Chapters are self-contained with exercises provided at the end of most sections. Nonlinear Optimization with Engineering Applications is ideal for self-study and classroom use in engineering courses at the senior undergraduate or graduate level. The book will also appeal to postdocs and advanced researchers interested in the development and use of optimization algorithms.