Senior Research Associate
for which the gradient computation is expensive and inexact. These problems arise from many financial application problems.
Affine Scaling Interior Point Methods Without Perturbation. The 1st European Workshop on Nonlinear Optimization, October 1999.
Pricing American Options With An Interior Point Method. The Special Session on Linear Algebra and Optimization, Joint meeting of AMS/MAA/SIAM, Washington DC, January 1999.
“A subspace, interior, and conjugate gradient method for large-scale bound-constrained minimization problems.” SIAM Journal on Scientific Computing 21 (1999), 1–23 (with M.A. Branch).