Information relaxation and a duality-driven algorithm for stochastic dynamic programs

DOI10.1287/OPRE.2020.0464MaRDI QIDQ7035357zbMATH OpenFDO

Authors Nan Chen, Xiang Ma, Yanchu Liu, Wei Yu

Publication date 30 January 2025

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/OPRE.2020.0464

zbMATH Keywords

dualityfinancial engineeringinformation relaxationoptimal executionregression-based Monte Carlo methodstochastic dynamic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39)

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