Relationship between least squares Monte Carlo and approximate linear programming
DOI10.1016/j.orl.2017.05.010zbMath1409.90217OpenAlexW3125646129MaRDI QIDQ1728294
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
Markov decision processesapproximate dynamic programmingenergy storageapproximate linear programmingleast squares Monte Carlofinancial and real options
Numerical mathematical programming methods (65K05) Monte Carlo methods (65C05) Dynamic programming (90C39) Financial applications of other theories (91G80) Markov and semi-Markov decision processes (90C40)
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