A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables

DOI10.1016/j.cor.2013.04.008zbMath1348.90617OpenAlexW2136599217MaRDI QIDQ336622

Michel Denault, Lars Stentoft, Jean-Guy Simonato

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

zbMATH Keywords

stochastic controlapproximate dynamic programminghydropower managementleast-squares Monte Carlosimulation and regression

Mathematics Subject Classification ID

Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40)

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