Network flow Optimization through Monte Carlo Simulation

Author(s):  
Sayaji Hande ◽  
Prasoon Patidar ◽  
Sachin Meena ◽  
Saurabh Banerjee
2009 ◽  
Vol 2009 ◽  
pp. 1-9 ◽  
Author(s):  
Orhan Çamoğlu ◽  
Tolga Can ◽  
Ambuj K. Singh

A protein network shows physical interactions as well as functional associations. An important usage of such networks is to discover unknown members of partially known complexes and pathways. A number of methods exist for such analyses, and they can be divided into two main categories based on their treatment of highly connected proteins. In this paper, we show that methods that are not affected by the degree (number of linkages) of a protein give more accurate predictions for certain complexes and pathways. We propose a network flow-based technique to compute the association probability of a pair of proteins. We extend the proposed technique using hierarchical clustering in order to scale well with the size of proteome. We also show that top-k queries are not suitable for a large number of cases, and threshold queries are more meaningful in these cases. Network flow technique with clustering is able to optimize meaningful threshold queries and answer them with high efficiency compared to a similar method that uses Monte Carlo simulation.


2018 ◽  
Vol 26 (9) ◽  
pp. 1613-1626
Author(s):  
Ye Zhang ◽  
Wenlong Lyu ◽  
Wai-Shing Luk ◽  
Fan Yang ◽  
Hai Zhou ◽  
...  

2002 ◽  
Vol 05 (06) ◽  
pp. 599-618 ◽  
Author(s):  
YUJI YAMADA ◽  
JAMES A. PRIMBS

In this paper, we propose a numerical option pricing method based on an arbitrarily given stock distribution. We first formulate a European call option pricing problem as an optimal hedging problem by using a lattice based incomplete market model. A dynamic programming technique is then applied to solve the mean square optimal hedging problem for the discrete time multi-period case by assigning suitable probabilities on the lattice, where the underlying stock price distribution is derived directly from empirical stock price data which may possess "heavy tails". We show that these probabilities are obtained from a network flow optimization which can be solved efficiently by quadratic programming. A computational complexity analysis demonstrates that the number of iterations for dynamic programming and the number of parameters in the network flow optimization are both of square order with respect to the number of periods. Numerical experiments illustrate that our methodology generates the implied volatility smile.


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