The value chain for energy and other commodities entails physical conversions through refineries, power plants, storage facilities, and transportation and other capital-intensive infrastructure. When the operation of such commodity conversion assets occurs alongside liquid markets for the input...

Risk neutral valuation determines no arbitrage values for financial or real assets, including ones that are exposed to energy price risk. It is always uniquely associated with a hedging strategy if and only if markets are complete, which is the exception in theory and never the case in practice....

Rollout algorithms are effective heuristics for the single vehicle routing problem with stochastic demands (VRPSD), a prototypical model of logistics under uncertainty. However, they can be computational intensive. To reduce their run time, we introduce a novel approach to approximate the...

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...

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...

We formulate the merchant trading of energy in a network of storage and transport assets as a Markov decision process with uncertain energy prices, generalizing known models. Because of the intractability of our model, we develop heuristics and both lower and dual (upper) bounds on the optimal...