Information relaxation and a duality-driven algorithm for stochastic dynamic programs
Nan Chen, Xiang Ma, Yanchu Liu, Wei Yu
| Year of publication: |
2024
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|---|---|
| Authors: | Chen, Nan ; Ma, Xiang ; Liu, Yanchu ; Yu, Wei |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 72.2024, 6, p. 2302-2320
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| Subject: | duality | Financial Engineering | information relaxation | optimal execution | regression-based Monte Carlo method | stochastic dynamic programming | Dynamische Optimierung | Dynamic programming | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Algorithmus | Algorithm | Financial engineering |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2020.0464 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015371401