A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
DOI10.1016/J.COR.2013.04.008zbMATH Open1348.90617OpenAlexW2136599217MaRDI QIDQ336622FDOQ336622
Authors: Michel Denault, Jean-Guy Simonato, Lars Stentoft 
Publication date: 10 November 2016
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2013.04.008
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Cited In (9)
- Relationship between least squares Monte Carlo and approximate linear programming
- Comparison of least squares Monte Carlo methods with applications to energy real options
- ``Regression anytime with brute-force SVD truncation
- A bias-corrected least-squares Monte Carlo for solving multi-period utility models
- A simulation-based decision support system for a multi-echelon inventory problem with service level constraints
- Metamodel-based simulation optimization considering a single stochastic constraint
- Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach
- Optimal liquidation through a limit order book: a neural network and simulation approach
- Dynamic portfolio choice: a simulation-and-regression approach
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