Thomas F. Coleman

Data Min. Knowl. Discov., 2018

2016

Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy.

[BibT_eX]

[DOI]

Somayeh Moazeni

Ann. Oper. Res., 2016

Automatic differentiation in MATLAB using ADMAT with applications.

[BibT_eX]

[DOI]

Software, environments, and tools, SIAM, ISBN: 978-1-611-97435-5, 2016

2015

RankRC: Large-Scale Nonlinear Rare Class Ranking.

[BibT_eX]

[DOI]

Aditya Tayal

IEEE Trans. Knowl. Data Eng., 2015

2014

Primal explicit max margin feature selection for nonlinear support vector machines.

[BibT_eX]

[DOI]

Aditya Tayal

Pattern Recognit., 2014

Solving nonlinear equations with the Newton-Krylov method based on automatic differentiation.

[BibT_eX]

[DOI]

Optim. Methods Softw., 2014

2013

Efficient (Partial) Determination of Derivative Matrices via Automatic Differentiation.

[BibT_eX]

[DOI]

SIAM J. Sci. Comput., 2013

Regularized robust optimization: the optimal portfolio execution case.

[BibT_eX]

[DOI]

Somayeh Moazeni

Comput. Optim. Appl., 2013

Stable local volatility function calibration using spline kernel.

[BibT_eX]

[DOI]

Cheng Wang

Comput. Optim. Appl., 2013

2012

A secant method for nonlinear least-squares minimization.

[BibT_eX]

[DOI]

Gang Liu

Comput. Optim. Appl., 2012

2010

Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters.

[BibT_eX]

[DOI]

Somayeh Moazeni

SIAM J. Optim., 2010

2009

Estimating a Hedge Fund Return Model Based on a Small Number of Samples.

[BibT_eX]

[DOI]

Dmitriy Levchenkov

INFOR Inf. Syst. Oper. Res., 2009

2008

Fast (Structured) Newton Computations.

[BibT_eX]

[DOI]

SIAM J. Sci. Comput., 2008

2007

Parallelism in Structured Newton Computations.

[BibT_eX]

Proceedings of the Parallel Computing: Architectures, 2007

2005

Financial Computations on Clusters Using Web Services.

[BibT_eX]

[DOI]

Shirish Chinchalkar

Peter Mansfield

Proceedings of the Computational Science, 2005

2004

Cluster Computing for Financial Engineering.

[BibT_eX]

[DOI]

Shirish Chinchalkar

Peter Mansfield

Proceedings of the Applied Parallel Computing, 2004

2003

Hedging a portfolio of derivatives by modeling cost.

[BibT_eX]

[DOI]

Katharyn A. Boyle

Proceedings of the 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003

2002

A New Trust-Region Algorithm for Equality Constrained Optimization.

[BibT_eX]

[DOI]

Wei Yuan

Comput. Optim. Appl., 2002

2001

A Preconditioned Conjugate Gradient Approach to Linear Equality Constrained Minimization.

[BibT_eX]

[DOI]

Arun Verma

Comput. Optim. Appl., 2001

Segmentation of Pulmonary Nodule Images Using 1-Norm Minimization.

[BibT_eX]

[DOI]

Adrian Mariano

Comput. Optim. Appl., 2001

2000

ADMIT-1: automatic differentiation and MATLAB interface toolbox.

[BibT_eX]

[DOI]

Arun Verma

ACM Trans. Math. Softw., 2000

A trust region and affine scaling interior point method for nonconvex minimization with linear inequality constraints.

[BibT_eX]

[DOI]

Math. Program., 2000

A Quasi-Newton Quadratic Penalty Method for Minimization Subject to Nonlinear Equality Constraints.

[BibT_eX]

[DOI]

Wei Yuan

Comput. Optim. Appl., 2000

An Exterior Newton Method for Strictly Convex Quadratic Programming.

[BibT_eX]

[DOI]

Comput. Optim. Appl., 2000

1999

The Efficient Computation of Structured Gradients using Automatic Differentiation.

[BibT_eX]

[DOI]

Gudbjorn F. Jonsson

SIAM J. Sci. Comput., 1999

A Subspace, Interior, and Conjugate Gradient Method for Large-Scale Bound-Constrained Minimization Problems.

[BibT_eX]

[DOI]

Mary Ann Branch

SIAM J. Sci. Comput., 1999

An interior Newton method for quadratic programming.

[BibT_eX]

[DOI]

Math. Program., 1999

1998

The Efficient Computation of Sparse Jacobian Matrices Using Automatic Differentiation.

[BibT_eX]

[DOI]

Arun Verma

SIAM J. Sci. Comput., 1998

1997

pPCx: Parallel Software for Linear Programming.

[BibT_eX]

Proceedings of the Eighth SIAM Conference on Parallel Processing for Scientific Computing, 1997

1996

A Reflective Newton Method for Minimizing a Quadratic Function Subject to Bounds on Some of the Variables.

[BibT_eX]

[DOI]

SIAM J. Optim., 1996

An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds.

[BibT_eX]

[DOI]

SIAM J. Optim., 1996

Parallel continuation-based global optimization for molecular conformation and protein folding.

[BibT_eX]

[DOI]

Zhijun Wu

J. Glob. Optim., 1996

1995

An efficient trust region method for unconstrained discrete-time optimal control problems.

[BibT_eX]

[DOI]

Aiping Liao

Comput. Optim. Appl., 1995

Parallel structural optimization applied to bone remodeling on distributed memory machines.

[BibT_eX]

[DOI]

Shirish Chinchalkar

Comput. Optim. Appl., 1995

1994

On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds.

[BibT_eX]

[DOI]

Math. Program., 1994

A parallel build-up algorithm for global energy minimizations of molecular clusters using effective energy simulated annealing.

[BibT_eX]

[DOI]

David Shalloway

Zhijun Wu

J. Glob. Optim., 1994

1993

A Globally and Superlinearly Convergent Algorithm for Convex Quadratic Programs with Simple Bbounds.

[BibT_eX]

[DOI]

Laurie A. Hulbert

SIAM J. Optim., 1993

Isotropic effective energy simulated annealing searches for low energy molecular cluster states.

[BibT_eX]

[DOI]

David Shalloway

Zhijun Wu

Comput. Optim. Appl., 1993

Parallel Orthogonal Factorizations of Large Sparse Matrices on Distributed -Memory Multiprocessors.

[BibT_eX]

Chunguang Sun

Proceedings of the Sixth SIAM Conference on Parallel Processing for Scientific Computing, 1993

1992

A Parallel Nonlinear Least-Squares Solver: Theoretical Analysis and Numerical Results.

[BibT_eX]

[DOI]

Paul E. Plassmann

SIAM J. Sci. Comput., 1992

A globally and quadratically convergent affine scaling method for linear l<sub>1</sub> problems.

[BibT_eX]

[DOI]

Math. Program., 1992

Partitioned quasi-Newton methods for nonlinear equality constrained optimization.

[BibT_eX]

[DOI]

Peter A. Fenyes

Math. Program., 1992

1990

Solving Systems of Nonlinear Equations on a Message-Passing Multiprocessor.

[BibT_eX]

[DOI]

Guangye Li

SIAM J. Sci. Comput., 1990

Computing a Trust Region Step for a Penalty Function.

[BibT_eX]

[DOI]

Christian Hempel

SIAM J. Sci. Comput., 1990

1989

Direct Methods for Sparse Matrices (I. S. Duff, A. M. Erisman, and J. K Reid).

[BibT_eX]

[DOI]

Earl Zmijewski

SIAM Rev., 1989

A direct active set algorithm for large sparse quadratic programs with simple bounds.

[BibT_eX]

[DOI]

Laurie A. Hulbert

Math. Program., 1989

1988

A chordal preconditioner for large-scale optimization.

[BibT_eX]

[DOI]

Math. Program., 1988

Solution of Nonlinear Least Squares Problems on a Multiprocessor.

[BibT_eX]

[DOI]

Paul E. Plassmann

Proceedings of the Parallel Computing 1988, 1988

1986

Predicting fill for sparse orthogonal factorization.

[BibT_eX]

[DOI]

Anders Edenbrandt

John R. Gilbert

J. ACM, 1986

1985

Algorithm 636: FORTRAN Subroutines for Estimating Sparse Hessian Matrices.

[BibT_eX]

[DOI]

ACM Trans. Math. Softw., 1985

Software for Estimating Sparse Hessian Matrices.

[BibT_eX]

[DOI]

ACM Trans. Math. Softw., 1985

1984

Algorithm 618: FORTRAN subroutines for estimating sparse Jacobian Matrices.

[BibT_eX]

[DOI]

ACM Trans. Math. Softw., 1984

Software for estimating sparse Jacobian matrices.

[BibT_eX]

[DOI]

ACM Trans. Math. Softw., 1984

A note on the computation of an orthonormal basis for the null space of a matrix.

[BibT_eX]

[DOI]

Danny C. Sorensen

Math. Program., 1984

Estimation of sparse hessian matrices and graph coloring problems.

[BibT_eX]

[DOI]

Math. Program., 1984

Large Sparse Numerical Optimization

[BibT_eX]

[DOI]

Lecture Notes in Computer Science 165, Springer, ISBN: 3-540-12914-6, 1984

1982

Nonlinear programming via an exact penalty function: Global analysis.

[BibT_eX]

[DOI]

Math. Program., 1982

Nonlinear programming via an exact penalty function: Asymptotic analysis.

[BibT_eX]

[DOI]

Math. Program., 1982

1981

Erratum.

[BibT_eX]

[DOI]

Math. Program., 1981

1980

Second-order conditions for an exact penalty function.

[BibT_eX]

[DOI]

Math. Program., 1980

1978

A note on 'new algorithms for constrained minimax optimization'.

[BibT_eX]

[DOI]