主题:Iterative methods for linear matrix inequality problems
时间:11月5日 10:00-11:30
地点:腾讯会议:636 491 900
主持人:邵文婷 副教授
报告人简介:郑宁,同济大学数学科学学院副教授,日本国立信息学研究所博士后。主要从事数值代数、金融计算和高性能计算方法等方面的研究,在国际知名期刊上发表多篇重要的学术论文,主持国家自然科学基金青年基金,参与多项国家自然基金与省部级科研项目。荣获郭本瑜青年学者优秀论文二等奖,入选上海市科委启明星项目扬帆专项。
讲座简介:For the large scale linear matrix equation complementarity problems arising from the discretization of free boundary problem, e.g., American option pricing problem, we propose a novel framework based on the alternating iterative methods. The theoretical analysis is presented for guaranteeing the convergence of the proposed methods. We also describe a new MATLAB toolbox for numerical solutions of linear matrix inequality problems from option pricing models. The goal of the package is two-fold:1) to provide tools for solving Black-Scholes, Heston, two-asset option pricing models, and 2) to provide test problems. The purpose of package is to provide the user with easy-to-use routines, based on numerical robust and efficient algorithms for doing experiments with linear complementarity and option pricing problems.