Least squares Monte Carlo and pathwise optimization for merchant energy production
Bo Yang, Selvaprabu Nadarajah, Nicola Secomandi
| Year of publication: |
2024
|
|---|---|
| Authors: | Yang, Bo ; Nadarajah, Selvaprabu ; Secomandi, Nicola |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 72.2024, 6, p. 2758-2775
|
| Subject: | block coordinate descent | Decision Analysis | information relaxation and duality | least squares Monte Carlo | Markov decision processes | merchant energy operations | pathwise optimization | principal component analysis | real options | reinforcement learning | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Realoptionsansatz | Real options analysis | Markov-Kette | Markov chain |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2018.0341 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015371559