Optimization Methods in Finance - ku

a list of problem classes that we will encounter in this book. 1.1 Optimization Problems We start with a generic description of an optimization problem. Given a function f(x) : IRn! IR and a set S ˆ IRn, the problem of nding an x 2 IRn that solves minx f(x) s.t. x 2 S (1.1) iscalledanoptimizationproblem. Werefertof astheobjectivefunctionand

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