Open AccessRelaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage
Author(s) -
Selvaprabu Nadarajah,
François Margot,
Nicola Secomandi
Publication year - 2014
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2497666
Subject(s) - commodity , valuation (finance) , heuristic , markov decision process , mathematical optimization , linear programming , computer science , dual (grammatical number) , option value , markov process , dynamic programming , economics , mathematics , finance , microeconomics , statistics , art , literature , incentive
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