Information relaxation and a duality-driven algorithm for stochastic dynamic programs (Q7035357)
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scientific article; zbMATH DE number 7976699
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| English | Information relaxation and a duality-driven algorithm for stochastic dynamic programs |
scientific article; zbMATH DE number 7976699 |
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Information relaxation and a duality-driven algorithm for stochastic dynamic programs (English)
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30 January 2025
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financial engineering
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stochastic dynamic programming
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information relaxation
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duality
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regression-based Monte Carlo method
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optimal execution
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