Open AccessLeast Squares Monte Carlo and Approximate Linear Programming with an Energy Real Option Application
Author(s) -
Selvaprabu Nadarajah,
Nicola Secomandi
Publication year - 2020
Publication title -
foundations and trends in technology, information, and operations management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.249
H-Index - 14
eISSN - 1571-9553
pISSN - 1571-9545
DOI - 10.1561/0200000096-10
Subject(s) - monte carlo method , least squares function approximation , linear programming , mathematical optimization , energy (signal processing) , computer science , monte carlo molecular modeling , monte carlo method in statistical physics , quasi monte carlo method , mathematics , hybrid monte carlo , algorithm , markov chain monte carlo , statistics , estimator