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http://hdl.handle.net/10453/149
2014-10-02T12:21:17ZSolution of Extreme Transcendental Differential Equations
http://hdl.handle.net/10453/26441
Solution of Extreme Transcendental Differential Equations
Nettleton, Stuart
Blind peer review
Extreme transcendental differential equations are found in many applications including geophysical climate change models. Solution of these systems in continuous time has only been feasible with the recent development of Chebyshev solvers such as Mathematica 9?s NDSolve function. This paper presents the challenges and means of solving the widely used DICE 2007 integrated assessment model in continuous time. Application of the solution technique in a mobile policy tool is discussed.
2013-01-01T00:00:00ZCorrLog: Correlated Logistic Models for Joint Prediction of Multiple Labels
http://hdl.handle.net/10453/23498
CorrLog: Correlated Logistic Models for Joint Prediction of Multiple Labels
Bian, Wei
Lawrence, Neil; Girolami, Mark
In this paper, we present a simple but effective method for multi-label classification (MLC), termed Correlated Logistic Models (Corrlog), which extends multiple Independent Logistic Regressions (ILRs) by modeling the pairwise correlation between labels. Algorithmically, we propose an efficient method for learning parameters of Corrlog, which is based on regularized maximum pseudolikelihood estimation and has a linear computational complexity with respect to the number of labels. Theoretically, we show that Corrlog enjoys a satisfying generalization bound which is independent of the number of labels. The effectiveness of Corrlog on modeling label correlations is illustrated by a toy example, and further experiments on real data show that Corrlog achieves competitive performance compared with popular MLC algorithms.
2012-01-01T00:00:00ZQuasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach
http://hdl.handle.net/10453/19062
Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach
Baldeaux, Jan; Chan, Leung Lung; Platen, Eckhard
William McLean and Anthony John Roberts
We apply quasi-Monte Carlo methods to the pricing of derivatives on realised variance of an index under the benchmark approach. The resulting integration problem is shown to depend on the joint density of the realised variance of the index and t he terminal value of the index. Employing a transformation mapping for this joint density to the unit square reduces the difficulty of the resulting integration problem. The quasi-Monte Carlo methods compare favourably to Monte Carlo methods when applied to the given problem.
2011-01-01T00:00:00ZOn Certain Polynomials of Even Subscripted Lucas Numbers
http://hdl.handle.net/10453/19064
On Certain Polynomials of Even Subscripted Lucas Numbers
Melham, Ray
Howard, F. T.
1999-01-01T00:00:00Z