A mixed finite element method for pricing American options and Greeks in the Heston model

Authors: Mezzan, Youness ^{a, ⁎}, Tber, Moulay Hicham ^b

Source: In Computers and Mathematics with Applications 1 September 2025 193:20-33

Parallel primal-dual active-set algorithm with nonlinear and linear preconditioners

Authors: Zhang, Guangliang ^a, Yang, Haijian ^{a, ⁎}, Cheng, Tianpei ^a, Yang, Chao ^{b, c}

Source: In Journal of Computational Physics 15 February 2025 523

A particle-mesh operator splitting framework for American option pricing under stochastic volatility

Authors: Mezzan, Youness

Source: In Journal of Computational and Applied Mathematics 15 May 2026 477

The virtual element method for a nonhomogeneous double obstacle problem of Kirchhoff plate

Authors: Feng, Fang ^{a, 1}, Huang, Jianguo ^{b, ⁎, 2}

Source: In Nonlinear Analysis: Real World Applications June 2023 71

Multigrid methods for an elliptic optimal control problem with pointwise state constraints

Authors: Brenner, Susanne C. ^{a, ⁎}, Liu, Sijing ^b, Sung, Li-yeng ^a

Source: In Results in Applied Mathematics February 2023 17

Robust recovery in 1-bit compressive sensing via ℓq-constrained least squares

Authors: Fan, Qibin ^{⁎, a}, Jia, Cui ^a, Liu, Jin ^b, Luo, Yuan ^a

Source: In Signal Processing February 2021 179

A Unified Primal Dual Active Set Algorithm for Nonconvex Sparse Recovery

Authors: Huang, Jian, Jiao, Yuling, Jin, Bangti, Liu, Jin, Lu, Xiliang, Yang, Can

Source: Statistical Science. 36

Subject Terms: FOS: Computer and information sciences, consistency, sparsity, primal-dual active set algorithm, Continuation, Machine Learning (stat.ML), 02 engineering and technology, 01 natural sciences, Primal-dual active set algorithm, Statistics - Machine Learning, Optimization and Control (math.OC), FOS: Mathematics, 0202 electrical engineering, electronic engineering, information engineering, Nonconvex penalty, Consistency, 0101 mathematics, continuation, Sparsity, Mathematics - Optimization and Control, nonconvex penalty

Access URL: http://arxiv.org/pdf/1310.1147
http://arxiv.org/abs/1310.1147
https://www.arxiv-vanity.com/papers/1310.1147/
https://repository.ust.hk/ir/Record/1783.1-112927
https://projecteuclid.org/journals/statistical-science/volume-36/issue-2/A-Unified-Primal-Dual-Active-Set-Algorithm-for-Nonconvex-Sparse/10.1214/19-STS758.full
https://discovery-pp.ucl.ac.uk/id/eprint/10086343/

Group Sparse Recovery via the $\ell ^0(\ell ^2)$ Penalty: Theory and Algorithm

Authors: Jiao, Y., Jin, B., Lu, X.

Source: IEEE Transactions on Signal Processing IEEE Trans. Signal Process. Signal Processing, IEEE Transactions on. 65(4):998-1012 Feb, 2017

A unified primal dual active set algorithm for nonconvex sparse recovery

Authors: Jin, B, Huang, J, Jiao, Y, Lu, X, Liu, J, Yang, C

Source: Statistical Science , 36 (2) pp. 215-238. (2021)

Subject Terms: nonconvex penalty, sparsity, primal-dual active set algorithm, continuation, consistency

File Description: text

Relation: https://discovery.ucl.ac.uk/id/eprint/10086343/1/pdas_nonconvex13.pdf; https://discovery.ucl.ac.uk/id/eprint/10086343/

Availability: https://discovery.ucl.ac.uk/id/eprint/10086343/1/pdas_nonconvex13.pdf
https://discovery.ucl.ac.uk/id/eprint/10086343/

Finite Element Approximation of Optimal Control Problem Governed by Space Fractional Equation

Authors: Zhou, Zhaojie^{Aff1, cor1}, Tan, Zhiyu^{Aff2, cor2}

Source: Journal of Scientific Computing. :1-22

A primal dual active set with continuation algorithm for the [formula omitted]-regularized optimization problem

Authors: Jiao, Yuling ^{a, b}, Jin, Bangti ^c, Lu, Xiliang ^{b, ⁎}

Source: In Applied and Computational Harmonic Analysis November 2015 39(3):400-426

Obstacle Problems with Cohesion: A Hemivariational Inequality Approach and Its Efficient Numerical Solution

Authors: Hintermüller, Michael, Kovtunenko, Victor A., Kunisch, Karl

Source: SIAM Journal on Optimization. 21:491-516

Subject Terms: obstacle problem with cohesion / generalized complementarity problem / hemivariational inequality / nonsmooth optimization / primal-dual active set algorithm / generalized Newton method, 0211 other engineering and technologies, 02 engineering and technology, 0101 mathematics, 01 natural sciences

Access URL: https://dblp.uni-trier.de/db/journals/siamjo/siamjo21.html#HintermullerKK11
https://epubs.siam.org/doi/abs/10.1137/10078299
https://locus.siam.org/doi/abs/10.1137/10078299
https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/681
https://www.math.hu-berlin.de/~hp_hint/content/hkk11_obstacle_cohesion.pdf
https://jglobal.jst.go.jp/en/detail?JGLOBAL_ID=201102245156382860
http://unipub.uni-graz.at/doi/doi:10.1137/10078299

Group Sparse Recovery via the ℓ0(ℓ2) Penalty: Theory and Algorithm

Authors: Jin, B, Lu, X, Jiao, Y

Source: IEEE Transactions on Signal Processing , 65 (4) pp. 998-1012. (2017)

Subject Terms: group sparsity, block sparsity, blockwise mutual incoherence, global minimizer, block coordinatewise minimizer, primal dual active set algorithm, ℓ0(ℓ2) penalty

File Description: text

Relation: https://discovery.ucl.ac.uk/id/eprint/1524665/1/gpdas_tsp_v7.pdf; https://discovery.ucl.ac.uk/id/eprint/1524665/

Availability: https://discovery.ucl.ac.uk/id/eprint/1524665/1/gpdas_tsp_v7.pdf
https://discovery.ucl.ac.uk/id/eprint/1524665/

Semismooth Newton and Augmented Lagrangian Methods for a Simplified Friction Problem: Semismooth Newton and augmented Lagrangian methods for a simplified friction problem

Authors: Georg Stadler

Contributors: Legrand, Mathias

Source: SIAM Journal on Optimization. 15:39-62

Subject Terms: [SPI] Engineering Sciences [physics], Nonsmooth analysis, primal-dual active set algorithm, 0211 other engineering and technologies, friction problem, augmented Lagrangians, 02 engineering and technology, 01 natural sciences, Methods of successive quadratic programming type, Friction in solid mechanics, Nonlinear programming, semismooth Newton method, Energy minimization in equilibrium problems in solid mechanics, Unilateral problems, variational inequalities (elliptic type), 0101 mathematics

File Description: application/pdf; application/xml

Access URL: http://www.cims.nyu.edu/%7Estadler/papers/Stadler04.pdf
https://hal.science/hal-01371364v1/document
https://doi.org/10.1137/s1052623403420833
https://hal.science/hal-01371364v1

A primal-dual active set algorithm for bilaterally control constrained optimal control problems

Authors: Michael Hintermueller

Source: Quarterly of Applied Mathematics. 61:131-160

Subject Terms: optimal control, Numerical methods based on nonlinear programming, primal-dual active set algorithm, augmented Lagrangian, 0211 other engineering and technologies, 02 engineering and technology, Existence theories for optimal control problems involving partial differential equations, Numerical methods involving duality, generalized Moreau-Yosida approximation

File Description: application/xml

Access URL: https://www.ams.org/qam/2003-61-01/S0033-569X-2003-1955227-4/S0033-569X-2003-1955227-4.pdf
http://sro.sussex.ac.uk/id/eprint/30079/
http://srodev.sussex.ac.uk/30079/
https://www.ams.org/journals/qam/2003-61-01/S0033-569X-2003-1955227-4/home.html
https://www.ams.org/qam/2003-61-01/S0033-569X-2003-1955227-4/S0033-569X-2003-1955227-4.pdf

A primal dual active set with continuation algorithm for the l0-regularized optimization problem

Authors: Jiao, Y, Jin, B, Lu, X

Source: Applied and Computational Harmonic Analysis , 39 (3) pp. 400-426. (2015)

Subject Terms: Primal dual active set algorithm, Coordinatewise minimizer, Continuation strategy, Global convergence

File Description: text

Relation: https://discovery.ucl.ac.uk/id/eprint/1452209/1/pdasc_revised.pdf; https://discovery.ucl.ac.uk/id/eprint/1452209/

Availability: https://discovery.ucl.ac.uk/id/eprint/1452209/1/pdasc_revised.pdf
https://discovery.ucl.ac.uk/id/eprint/1452209/

IMA Journal of Applied Mathematics / A Papkovich-Neuber-based numerical approach to cracks with contact in 3D

Authors: Hintermüller, Michael, Kovtunenko, Victor A., Kunisch, Karl

Subject Terms: crack with non-penetration, constrained optimization problem, primal–dual active set algorithm, Papkovich–Neuber representation, numerical calculation

File Description: text/html

Relation: vignette : https://unipub.uni-graz.at/titlepage/urn/urn:nbn:at:at-ubg:3-1038/128; local:990115389260203331; system:AC11358949

Availability: https://doi.org/10.1093/imamat/hxp017
https://resolver.obvsg.at/urn:nbn:at:at-ubg:3-1038

A Primal Dual Active Set with Continuation Algorithm for the \ell^0-Regularized Optimization Problem

Authors: Jiao, Y, Jin, B, Lu, X

Subject Terms: FOS: Computer and information sciences, Computer Science - Information Theory, Information Theory (cs.IT), 0211 other engineering and technologies, Machine Learning (stat.ML), 02 engineering and technology, Primal dual active set algorithm, Global convergence, Coordinatewise minimizer, Statistics - Machine Learning, Optimization and Control (math.OC), Continuation strategy, 0202 electrical engineering, electronic engineering, information engineering, FOS: Mathematics, Mathematics - Optimization and Control

Access URL: http://arxiv.org/abs/1403.0515
https://discovery-pp.ucl.ac.uk/id/eprint/1452209/

SIAM journal on control and optimization / Obstacle Problems with Cohesion: A Hemi-Varitional Inequality approach and its efficient numerical solution

Authors: Hintermüller, Michael, Hintermüller, Michael, Kovtunenko, Victor A., Kunisch, Karl

Index Terms: obstacle problem with cohesion, generalized complementarity problem, hemivariational inequality, nonsmooth optimization, primal-dual active set algorithm, generalized Newton method, Text, Article

URL: https://www.siam.org/publications/journals/siam-journal-on-control-and-optimization-sicon
https://epubs.siam.org/journal/sjcodc
http://www.bibliothek.uni-regensburg.de/ezeit/?1468277
vignette : https://unipub.uni-graz.at/titlepage/urn/urn:nbn:at:at-ubg:3-458/128
vignette : https://unipub.uni-graz.at/titlepage/doi/doi:10.1137/10078299/128
https://www.siam.org/publications/journals/siam-journal-on-control-and-optimization-sicon
https://epubs.siam.org/journal/sjcodc
http://www.bibliothek.uni-regensburg.de/ezeit/?1468277
1095-7138
231795924
990064857250203331
1468277-1