Least Squares Monte Carlo and Approximate Linear Programming with an Energy Real Option Application.
Selvaprabu NadarajahNicola SecomandiPublished in: Found. Trends Technol. Inf. Oper. Manag. (2020)
Keyphrases
- monte carlo
- least squares
- linear programming
- policy evaluation
- markov chain
- monte carlo simulation
- importance sampling
- matrix inversion
- dynamic programming
- temporal difference
- monte carlo methods
- real option
- markovian decision
- neural network
- adaptive sampling
- monte carlo tree search
- markov decision processes
- quasi monte carlo
- learning algorithm