Abstract A new characterization of the exact minimax penalty function method is presented. The exactness of the penalization for the exact minimax penalty function method is analyzed in the context of ...

An effective algorithm for solving large saddle-point linear systems, presented by Krukier et al., is applied to the constrained optimization problems. This method is a modification of skew-Hermitian ...

We propose a new method that extends the saddlepoint approximation to allocate credit risk. This method applies a Taylor expansion to the inverse Laplace transform around an arbitrary point to ...