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Penalty Decomposition Methods for Rank Minimization
rank minimization penalty decomposition methods matrix completion
2010/10/21
In this paper we consider general rank minimization problems with rank appearing in either objective function or constraint. We first show that a class of matrix optimization problems can be solved a...
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
HJB Equation Numerical Solution Penalty Method
2010/10/21
We present a simple and easy to implement method for the numerical solution of a rather general class of Hamilton-Jacobi-Bellman (HJB) equations. In many cases, the considered problems have only a vi...
Convex pricing by a generalized entropy penalty
Convex pricing generalized entropy penalty
2010/12/17
In an incomplete Brownian-motion market setting, we propose a convex monotonic pricing functional for nonattainable bounded contingent claims which is compatible with prices for attainable claims. The...
Penalty Structure and Individual Tax Evasion: an Approach of Behavioral Public Finance
Tax Evasion Individual Income Tax Prospect Theory Penalty Structure Behavioral Public Finance
2010/10/20
China is encountering grave individual tax evasion problem since the new filing system taking effect in 2007. The traditional Allingham and Sandmo (A-S) model illustrates tenuous credibility in explai...