Commodity Resource Valuation And Extraction: A Pathwise Programming Approach
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Abstract: Complexity and uncertainty associated with commodity resource valuation and extraction requires stochastic control methods suitable for high dimensional states. Recent progress in duality and trajectory-wise techniques has introduced a variety of fresh ideas to this field with surprising results. This paper presents a first application of this promising development to commodity extraction problems. We introduce efficient algorithms for obtaining approximate solutions along with a diagnostic technique, which provides a quantitative measure for solution performance in terms of the distance between the approximate and the optimal control policy.
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