A probabilistic numerical method for optimal multiple switching problems in high dimension (Q2940758)
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scientific article; zbMATH DE number 6388323
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | A probabilistic numerical method for optimal multiple switching problems in high dimension |
scientific article; zbMATH DE number 6388323 |
Statements
A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension (English)
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20 January 2015
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optimal switching
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Monte Carlo algorithm
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local basis regression
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optimal investment in power generation
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0.8082833290100098
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0.7868027091026306
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0.78196781873703
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0.7767366170883179
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0.7745351195335388
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