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02/24/2023
Simultaneous upper and lower bounds of American option prices with hedging via neural networks
In this paper, we introduce two methods to solve the American-style opti...
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04/30/2022
Wrangling multivariate spatio-temporal data with the R package cubble
Multivariate spatio-temporal data refers to multiple measurements taken ...
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04/08/2021
Visual Diagnostics for Constrained Optimisation with Application to Guided Tours
A guided tour helps to visualise high-dimensional data by showing low-di...
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02/20/2021
Versatile and Robust Transient Stability Assessment via Instance Transfer Learning
To support N-1 pre-fault transient stability assessment, this paper intr...
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07/20/2020
Deep neural network for optimal retirement consumption in defined contribution pension system
In this paper, we develop a deep neural network approach to solve a life...
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05/07/2020
Fast multivariate empirical cumulative distribution function with connection to kernel density estimation
This paper revisits the problem of computing empirical cumulative distri...
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12/13/2018
Deep neural networks algorithms for stochastic control problems on finite horizon, Part 2: numerical applications
This paper presents several numerical applications of deep learning-base...
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12/11/2018
Deep neural networks algorithms for stochastic control problems on finite horizon, part I: convergence analysis
This paper develops algorithms for high-dimensional stochastic control p...
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12/04/2017