Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations

DOI10.1007/s10479-018-2910-3zbMath1437.91145OpenAlexW2806432775MaRDI QIDQ2178364

Jeremy Yee, Juri Hinz, Tanya Tarnopolskaya

Publication date: 11 May 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2910-3

zbMATH Keywords

dualityMarkov decision processoptimal switchingapproximate dynamic programmingreal optionnatural resource extraction

Mathematics Subject Classification ID

Decision theory (91B06) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (1)

Re-evaluating natural resource investments under uncertainty: an alternative to limited traditional approaches

Uses Software

• R
• rcss

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal switching decisions under stochastic volatility with fast mean reversion
• Monte Carlo algorithms for optimal stopping and statistical learning
• Markov decision processes with applications to finance.
• Applied stochastic control of jump diffusions.
• Decision analysis and real options: a discrete time approach to real option valuation
• The effect of mean reversion on investment under uncertainty
• The effect of mean reversion on entry and exit decisions under uncertainty
• Continuous-time stochastic control and optimization with financial applications
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Pricing American-style securities using simulation
• An analysis of a least squares regression method for American option pricing
• Applications of randomized low discrepancy sequences to the valuation of complex securities
• Kernel-based reinforcement learning
• An algorithmic approach to optimal asset liquidation problems
• Comparison of least squares Monte Carlo methods with applications to energy real options
• Renewable energy investments under different support schemes: a real options approach
• A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Integrated Optimization of Procurement, Processing, and Trade of Commodities
• Stochastic switching for partially observable dynamics and optimal asset allocation
• Storage Costs in Commodity Option Pricing
• Information Relaxations and Duality in Stochastic Dynamic Programs
• Regression Methods for Stochastic Control Problems and Their Convergence Analysis
• On the One-Dimensional Optimal Switching Problem
• Algorithms for Optimal Control of Stochastic Switching Systems
• Model Uncertainty in Commodity Markets
• Pathwise Stochastic Optimal Control
• Valuation of energy storage: an optimal switching approach
• Investment and the Valuation of Firms When There is an Option to Shut Down
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• Kernel-based reinforcement learning in average-cost problems
• A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS
• Approximate Dynamic Programming
• Lévy-Based Cross-Commodity Models and Derivative Valuation
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Optimal Stochastic Switching under Convexity Assumptions
• Pricing electricity risk by interest rate methods

This page was built for publication: Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations