LIBOR additive model calibration to swaptions markets [PDF]
, 2008 In the current paper, we introduce a new calibration methodology for the LIBOR market model driven by LIBOR additive processes based in an inverse problem.
Colino, Jesús P. +2 more
core +1 more source
Approximations of convex bodies by polytopes and by projections of spectrahedra [PDF]
, 2012 We prove that for any compact set B in R^d and for any epsilon >0 there is a finite subset X of B of |X|=d^{O(1/epsilon^2)} points such that the maximum absolute value of any linear function ell: R^d --> R on X approximates the maximum absolute value of ...
Barvinok, Alexander
core +1 more source
Improved bounds for the crossing numbers of K_m,n and K_n
, 2004 It has been long--conjectured that the crossing number cr(K_m,n) of the complete bipartite graph K_m,n equals the Zarankiewicz Number Z(m,n):= floor((m-1)/2) floor(m/2) floor((n-1)/2) floor(n/2). Another long--standing conjecture states that the crossing
de Klerk, E. +4 more
core +2 more sources
Exposed faces of semidefinitely representable sets
, 2009 A linear matrix inequality (LMI) is a condition stating that a symmetric matrix whose entries are affine linear combinations of variables is positive semidefinite.
Netzer, Tim +2 more
core +1 more source
Support-based lower bounds for the positive semidefinite rank of a nonnegative matrix [PDF]
, 2013 The positive semidefinite rank of a nonnegative $(m\times n)$-matrix~$S$ is the minimum number~$q$ such that there exist positive semidefinite $(q\times q)$-matrices $A_1,\dots,A_m$, $B_1,\dots,B_n$ such that $S(k,\ell) = \mbox{tr}(A_k^* B_\ell)$.
Dirk, Oliver Theis, Troy Lee
core
Exploiting Group Symmetry in Truss Topology Optimization [PDF]
AMS classification: 90C22, 20Cxx, 70-08truss topology optimization;semidefinite programming;group ...
Bai, Y.Q. +3 more
core +1 more source
On Semidefinite Programming Relaxations of Association Schemes With Application to Combinatorial Optimization Problems [PDF]
AMS classification: 90C22, 20Cxx, 70-08traveling salesman problem;maximum bisection;semidefinite programming;association ...
Klerk, E. de, Pasechnik, D.V.
core +1 more source
Interiors of completely positive cones [PDF]
, 2014 A symmetric matrix $A$ is completely positive (CP) if there exists an entrywise nonnegative matrix $B$ such that $A = BB^T$. We characterize the interior of the CP cone.
Fan, Jinyan, Zhou, Anwa
core
New approximations for the cone of copositive matrices and its dual
, 2012 We provide convergent hierarchies for the cone C of copositive matrices and its dual, the cone of completely positive matrices. In both cases the corresponding hierarchy consists of nested spectrahedra and provide outer (resp. inner) approximations for C
A Grundmann +16 more
core +5 more sources
On Semidefinite Programming Relaxations of the Travelling Salesman Problem (Replaced by DP 2008-96) [PDF]
AMS classification: 90C22, 20Cxx, 70-08traveling salesman problem;semidefinite programming;quadratic as- signment ...
Klerk, E. de +2 more
core +1 more source