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Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization.
Jingtang Ma
Wenyuan Li
Harry Zheng
Published in:
Eur. J. Oper. Res. (2017)
Keyphrases
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tight bounds
monte carlo method
utility maximization
markov chain
upper bound
sample path
monte carlo
genetic algorithm
stochastic gradient
objective function
lower bound
utility function
decision making
cross validation