A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables

DOI10.1016/J.COR.2013.04.008MaRDI QIDQ336622zbMATH OpenOpenAlexFDO

Authors Michel Denault, Jean-Guy Simonato, Lars Stentoft

Publication date 10 November 2016

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2013.04.008

zbMATH Keywords

stochastic controlapproximate dynamic programminghydropower managementleast-squares Monte Carlosimulation and regression

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Dynamic programming (90C39) Stochastic programming (90C15) Markov and semi-Markov decision processes (90C40)

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Cited in

(9)

• Dynamic portfolio choice: a simulation-and-regression approach
• Relationship between least squares Monte Carlo and approximate linear programming
• Comparison of least squares Monte Carlo methods with applications to energy real options
• ``Regression anytime with brute-force SVD truncation
• A bias-corrected least-squares Monte Carlo for solving multi-period utility models
• A simulation-based decision support system for a multi-echelon inventory problem with service level constraints
• Metamodel-based simulation optimization considering a single stochastic constraint
• Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach
• Optimal liquidation through a limit order book: a neural network and simulation approach

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