Finance Notes_Part_18

Finance Notes_Part_18 - It is continuous differentiable...

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Example of ill poisedness Audet and Vicente (SIOPT 2008) Unconstrained optimization 51/109
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Example of ill poisedness Audet and Vicente (SIOPT 2008) Unconstrained optimization 51/109
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Example of ill poisedness Audet and Vicente (SIOPT 2008) Unconstrained optimization 51/109
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Example of ill poisedness Audet and Vicente (SIOPT 2008) Unconstrained optimization 51/109
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Fully-linear models Given a point x and a trust-region radius Δ , a model m ( y ) around x is called fully linear if
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Unformatted text preview: It is continuous differentiable with Lipschitz continuous first derivatives. The following error bounds hold: k∇ f ( y )- ∇ m ( y ) k ≤ κ eg Δ ∀ y ∈ B ( x ; Δ) and | f ( y )-m ( y ) | ≤ κ ef Δ 2 ∀ y ∈ B ( x ; Δ) . For a class of fully-linear models , the (unknown) constants κ ef ,κ eg > must be independent of x and Δ . Audet and Vicente (SIOPT 2008) Unconstrained optimization 52/109...
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Finance Notes_Part_18 - It is continuous differentiable...

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