Asynchronous iterative algorithms have emerged as a robust alternative to traditional synchronous methods for solving large-scale linear systems. These approaches allow individual computational units ...
In this work, we propose a new policy iteration algorithm for pricing Bermudan options when the payoff process cannot be written as a function of a lifted Markov process. Our approach is based on a ...
Dr. James McCaffrey from Microsoft Research presents a complete end-to-end demonstration of computing a matrix inverse using the Newton iteration algorithm. Compared to other algorithms, Newton ...
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