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 a state-of-the-art approximate dynamic programming approach used in financial engineering and real options to value and manage options with early or multiple exercise opportunities. It is also applicable to capacity investment and inventory/production...

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...