StOpt

MaRDI QIDQ44614swMATHFDO

Official website https://events.chairefdd.org/stopt-a-new-stochastic-optimization-library/

Source code repository https://gitlab.com/stochastic-control/StOpt

Cited in

(21)

• Regression Monte Carlo for microgrid management
• A sparse grid approach to balance sheet risk measurement
• Incentives, lockdown, and testing: from Thucydides' analysis to the COVID-19 pandemic
• On conditional cuts for stochastic dual dynamic programming
• rlsm
• POWDer
• SDDP
• ensAR
• mlOSP
• MSPPy
• QUASAR
• StochDynamicProgramming.jl
• StructDualDynProg.jl
• StoDCuP
• SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming
• Numerical approximation of general Lipschitz BSDEs with branching processes
• Fast multivariate empirical cumulative distribution function with connection to kernel density estimation
• Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations
• Numerical approximation of BSDEs using local polynomial drivers and branching processes
• Benders-squared
• Fast and Stable Multivariate Kernel Density Estimation by Fast Sum Updating

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