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A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets.
Erhan Bayraktar
Asaf Cohen
April Nellis
Published in:
SIAM J. Financial Math. (2023)
Keyphrases
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neural network
high dimensional
minimum energy
artificial neural networks
dynamic programming
neural network model
energy minimization
high dimensional problems
feature selection
pattern recognition
optimization problems
markov chain
electronic commerce
high dimensionality
parameter space