搜索结果: 1-15 共查到“Utility Maximization”相关记录37条 . 查询时间(0.031 秒)
An interior-point method for large-scale network utility maximization
Newton the interior point networks concave utility functions disperse method dual decomposition algorithm
2015/8/10
We describe a specialized truncated Newton primal-dual interior-point method that solves large scale network utility maximization problems, with concave utility functions, efficiently and reliably. Ou...
Dynamic network utility maximization with delivery contracts
Variation of network the matrix the flow the numerical values
2015/8/10
We consider a multi-period variation of the network utility maximization problem that includes delivery constraints. We allow the flow utilities, link capacities and routing matrices to vary over time...
Optimizing adaptive modulation in wireless networks via utility maximization
Adaptive modulation network power physical layer electric power the interest rate
2015/8/10
We investigate adaptive modulation using the network utility maximization framework. We derive new crosslayer optimal power and rate adaptation policies for several practical modulation schemes. The b...
Optimizing adaptive modulation in wireless networks via multi-period network utility maximization
Wireless network control strategy the network traffic data video function
2015/8/7
We present a crosslayer technique to find and characterize optimal control policies for wireless networks operating at different time scales at the upper layer and physical layer. The technique can al...
An Interior-Point Method for Large Scale Network Utility Maximization
An Interior-Point Method Large Scale Network Utility Maximization
2015/7/10
We describe a specialized truncated Newton primal-dual interior-point method that solves large scale network utility maximization problems, with concave utility functions, efficiently and reliably. Ou...
Dynamic Network Utility Maximization with Delivery Contracts
Dynamic Network Utility Maximization Delivery Contracts
2015/7/10
We consider a multi-period variation of the network utility maximization problem that includes delivery constraints. We allow the flow utilities, link capacities and routing matrices to vary over time...
Optimizing Adaptive Modulation in Wireless Networks via Utility Maximization
Optimizing Adaptive Modulation Wireless Networks via Utility Maximization
2015/7/9
We investigate adaptive modulation using the network utility maximization framework. We derive new crosslayer optimal power and rate adaptation policies for several practical modulation schemes. The b...
Optimizing Adaptive Modulation in Wireless Networks via Multi-Period Network Utility Maximization
Optimizing Adaptive Modulation Wireless Networks via Multi-Period Network Utility Maximization
2015/7/9
We present a crosslayer technique to find and characterize optimal control policies for wireless networks operating at different time scales at the upper layer and physical layer. The technique can al...
Do arbitrage-free prices come from utility maximization?
arbitrage-free prices come from utility maximization
2012/9/14
In this paper we ask whether arbitrage-free prices are obtained by utility maximization. This is found to be true for any given investor, provided that one considers the marginal utility-based prices ...
Robust utility maximization for Levy processes:Penalization and solvability
Convex risk measures duality robust utility Levy processes.
2012/9/14
In this paper the robust utility maximization problem for a market model based on Levy processes is analyzed. The interplay between the formof the utility function and the penalization function requir...
Stability of the exponential utility maximization problem with respect to preferences
utility maximization exponential utility stability semimartingales utility-based prices
2012/6/5
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility. Two settings are studied. First, in a general semimartingale model where random...
The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
Model Formulation. Continuity of the Optimizers
2011/7/20
This article studies the sensitivity of the power utility maximization problem with respect to the investor’s relative risk aversion, the statistical probability measure, the investment constraints an...
BSDEs in Utility Maximization with BMO Market Price of Risk
BSDEs BMO Market Price of Risk
2011/7/20
This article studies quadratic semimartingale BSDEs arising in power utility maximization
when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sucient condi...
Stability of exponential utility maximization with respect to market perturbations
Stability exponential utility market perturbations
2011/7/19
Abstract. We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regul...
Stability of exponential utility maximization with respect to market perturbations
exponential utility maximization market perturbations Portfolio Management
2011/10/8
Abstract: We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regul...