An iterative algorithm for solving linear least squares problems has been developed and tested on an IBM 1620 computer. This article traces the development of the algorithm from that described by ...

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 ...

Dozens of machine learning algorithms require computing the inverse of a matrix. Computing a matrix inverse is conceptually easy, but implementation is one of the most difficult tasks in numerical ...