Least squares Monte Carlo (LSM) is an approximate dynamic programming (ADP) technique commonly used for the valuation of high dimensional financial and real options, but has broader applicability. It is known that the regress-later version of this method is an approximate linear programming...

Least squares Monte Carlo (LSM) is commonly used to manage and value early or multiple exercise financial or real options. Recent research in this area has started applying approximate linear programming (ALP) and its relaxations, which aim at addressing a possible ALP drawback. We show that...

The real option management of commodity conversion assets gives rise to intractable Markov decision processes (MDPs), in part due to the use of high dimensional models of commodity forward curve evolution, as commonly done in practice. Focusing on commodity storage, we identify a deficiency of...