Relationship between least squares Monte Carlo and approximate linear programming

DOI10.1016/J.ORL.2017.05.010MaRDI QIDQ1728294zbMATH OpenOpenAlexFDO

Authors Selvaprabu Nadarajah, Nicola Secomandi

Publication date 22 February 2019

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2017.05.010

zbMATH Keywords

approximate dynamic programmingapproximate linear programmingenergy storagefinancial and real optionsleast squares Monte CarloMarkov decision processes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical mathematical programming methods (65K05) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Financial applications of other theories (91G80)

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Cited in

(1)

• A bias-corrected least-squares Monte Carlo for solving multi-period utility models

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