A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables

Computers & Operations Research - Tập 40 - Trang 2760-2769 - 2013
Michel Denault1,2, Jean-Guy Simonato3, Lars Stentoft3
1HEC Montréal (Management Sciences), Canada
2GERAD, Canada
3HEC Montréal (Finance), Canada

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