Relationship between least squares Monte Carlo and approximate linear programming
Selvaprabu Nadarajah, Nicola Secomandi
| Year of publication: |
September 2017
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| Authors: | Nadarajah, Selvaprabu ; Secomandi, Nicola |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 45.2017, 5, p. 409-414
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| Subject: | Markov decision processes | Approximate dynamic programming | Least squares Monte Carlo | Approximate linear programming | Financial and real options | Energy storage | Monte-Carlo-Simulation | Monte Carlo simulation | Mathematische Optimierung | Mathematical programming | Schätztheorie | Estimation theory | Markov-Kette | Markov chain | Dynamische Optimierung | Dynamic programming | Realoptionsansatz | Real options analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2017.05.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011774608