Download or read book Relationship Between Least Squares Monte Carlo and Approximate Linear Programming written by Selvaprabu Nadarajah and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Least squares Monte Carlo (LSM) is commonly used to manage and value early or multiple exercise financial or real options. Recent research in this area has started applying approximate linear programming (ALP) and its relaxations, which aim at addressing a possible ALP drawback. We show that regress-later LSM is itself an ALP relaxation that potentially corrects this ALP shortcoming. Our analysis consolidates two streams of research and supports using this LSM version rather than ALP on the considered models.
Download or read book Least Squares Monte Carlo and Approximate Linear Programming written by Selvaprabu Nadarajah and published by . This book was released on 2018 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Least squares Monte Carlo (LSM) is an approximate dynamic programming (ADP) technique commonly used for the valuation of high dimensional financial and real options, but has broader applicability. It is known that the regress-later version of this method is an approximate linear programming (ALP) relaxation that implicitly provides a potential solution to a familiar ALP deficiency. Focusing on a generic finite horizon Markov decision process, we provide both theoretical and numerical backing for the usefulness of this solution, respectively using a worst-case error bound analysis and a numerical study dealing with merchant ethanol production, an energy real option application, based on an ALP heuristic that we propose. When both methodologies are applicable, our research supports the use of regress-later LSM rather than this ALP technique to approximately solve intractable Markov decision processes. Our numerical findings motivate additional research to obtain even better methods than the regress-later version of LSM.
Download or read book Comparison of Least Squares Monte Carlo Methods with Applications to Energy Real Options written by Selvaprabu Nadarajah and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Least squares Monte Carlo (LSM) is a state-of-the-art approximate dynamic programming approach used in financial engineering and real options to value and manage options with early or multiple exercise opportunities. It is also applicable to capacity investment and inventory/production management problems with demand/supply forecast updates arising in operations and hydropower-reservoir management. LSM has two variants, referred to as regress-now/later (LSMN/L), which compute continuation/value function approximations (C/VFAs). We provide novel numerical evidence for the relative performance of these methods applied to energy swing and storage options, two typical real options, using a common price evolution model. LSMN/L estimate C/VFAs that yield equally accurate (near optimal) and precise lower and dual (upper) bounds on the value of these real options. Estimating the LSMN/L C/VFAs and their associated lower bounds takes similar computational effort. In contrast, the estimation of a dual bound using the LSML VFA instead of the LSMN CFA takes seconds rather than minutes or hours. This finding suggests the use of LSML in lieu of LSMN when estimating dual bounds on the value of early or multiple exercise options, as well as of related capacity investment and inventory/production policies.
Download or read book Avatar Based Control Estimation Communications and Development of Neuron Multi Functional Technology Platforms written by Mkrttchian, Vardan and published by IGI Global. This book was released on 2019-12-27 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Competition in today’s global market offers strong motivation for the development of sophisticated tools within computer science. The neuron multi-functional technology platform is a developing field of study that regards the various interactive approaches that can be applied within this subject matter. As advancing technologies continue to emerge, managers and researchers need a compilation of research that discusses the advancements and specific implementations of these intelligent approaches with this platform. Avatar-Based Control, Estimation, Communications, and Development of Neuron Multi-Functional Technology Platforms is a pivotal reference source that provides vital research on the application of artificial and natural approaches towards neuron-based programs. While highlighting topics such as natural intelligence, neurolinguistics, and smart data storage, this publication presents techniques, case studies, and methodologies that combine the use of intelligent artificial and natural approaches with optimization techniques for facing problems and combines many types of hardware and software with a variety of communication technologies to enable the development of innovative applications. This book is ideally designed for researchers, practitioners, scientists, field experts, professors, and students seeking current research on the optimization of avatar-based advancements in multifaceted technology systems.
Download or read book Nuclear Science Abstracts written by and published by . This book was released on 1967 with total page 1048 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Approximate Dynamic Programming written by Warren B. Powell and published by John Wiley & Sons. This book was released on 2007-10-05 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete and accessible introduction to the real-world applications of approximate dynamic programming With the growing levels of sophistication in modern-day operations, it is vital for practitioners to understand how to approach, model, and solve complex industrial problems. Approximate Dynamic Programming is a result of the author's decades of experience working in large industrial settings to develop practical and high-quality solutions to problems that involve making decisions in the presence of uncertainty. This groundbreaking book uniquely integrates four distinct disciplines—Markov design processes, mathematical programming, simulation, and statistics—to demonstrate how to successfully model and solve a wide range of real-life problems using the techniques of approximate dynamic programming (ADP). The reader is introduced to the three curses of dimensionality that impact complex problems and is also shown how the post-decision state variable allows for the use of classical algorithmic strategies from operations research to treat complex stochastic optimization problems. Designed as an introduction and assuming no prior training in dynamic programming of any form, Approximate Dynamic Programming contains dozens of algorithms that are intended to serve as a starting point in the design of practical solutions for real problems. The book provides detailed coverage of implementation challenges including: modeling complex sequential decision processes under uncertainty, identifying robust policies, designing and estimating value function approximations, choosing effective stepsize rules, and resolving convergence issues. With a focus on modeling and algorithms in conjunction with the language of mainstream operations research, artificial intelligence, and control theory, Approximate Dynamic Programming: Models complex, high-dimensional problems in a natural and practical way, which draws on years of industrial projects Introduces and emphasizes the power of estimating a value function around the post-decision state, allowing solution algorithms to be broken down into three fundamental steps: classical simulation, classical optimization, and classical statistics Presents a thorough discussion of recursive estimation, including fundamental theory and a number of issues that arise in the development of practical algorithms Offers a variety of methods for approximating dynamic programs that have appeared in previous literature, but that have never been presented in the coherent format of a book Motivated by examples from modern-day operations research, Approximate Dynamic Programming is an accessible introduction to dynamic modeling and is also a valuable guide for the development of high-quality solutions to problems that exist in operations research and engineering. The clear and precise presentation of the material makes this an appropriate text for advanced undergraduate and beginning graduate courses, while also serving as a reference for researchers and practitioners. A companion Web site is available for readers, which includes additional exercises, solutions to exercises, and data sets to reinforce the book's main concepts.
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1992 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Programming and Optimal Control written by Dimitri Bertsekas and published by Athena Scientific. This book was released on 2012-10-23 with total page 715 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the leading and most up-to-date textbook on the far-ranging algorithmic methodology of Dynamic Programming, which can be used for optimal control, Markovian decision problems, planning and sequential decision making under uncertainty, and discrete/combinatorial optimization. The treatment focuses on basic unifying themes, and conceptual foundations. It illustrates the versatility, power, and generality of the method with many examples and applications from engineering, operations research, and other fields. It also addresses extensively the practical application of the methodology, possibly through the use of approximations, and provides an extensive treatment of the far-reaching methodology of Neuro-Dynamic Programming/Reinforcement Learning. Among its special features, the book 1) provides a unifying framework for sequential decision making, 2) treats simultaneously deterministic and stochastic control problems popular in modern control theory and Markovian decision popular in operations research, 3) develops the theory of deterministic optimal control problems including the Pontryagin Minimum Principle, 4) introduces recent suboptimal control and simulation-based approximation techniques (neuro-dynamic programming), which allow the practical application of dynamic programming to complex problems that involve the dual curse of large dimension and lack of an accurate mathematical model, 5) provides a comprehensive treatment of infinite horizon problems in the second volume, and an introductory treatment in the first volume.
Download or read book Algorithms for Reinforcement Learning written by Csaba Grossi and published by Springer Nature. This book was released on 2022-05-31 with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reinforcement learning is a learning paradigm concerned with learning to control a system so as to maximize a numerical performance measure that expresses a long-term objective. What distinguishes reinforcement learning from supervised learning is that only partial feedback is given to the learner about the learner's predictions. Further, the predictions may have long term effects through influencing the future state of the controlled system. Thus, time plays a special role. The goal in reinforcement learning is to develop efficient learning algorithms, as well as to understand the algorithms' merits and limitations. Reinforcement learning is of great interest because of the large number of practical applications that it can be used to address, ranging from problems in artificial intelligence to operations research or control engineering. In this book, we focus on those algorithms of reinforcement learning that build on the powerful theory of dynamic programming. We give a fairly comprehensive catalog of learning problems, describe the core ideas, note a large number of state of the art algorithms, followed by the discussion of their theoretical properties and limitations. Table of Contents: Markov Decision Processes / Value Prediction Problems / Control / For Further Exploration
Download or read book Pattern Recognition in Bioinformatics written by Madhu Chetty and published by Springer Science & Business Media. This book was released on 2008-09-29 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the post-genomic era, a holistic understanding of biological systems and p- cesses,inalltheircomplexity,is criticalincomprehendingnature’schoreography of life. As a result, bioinformatics involving its two main disciplines, namely, the life sciences and the computational sciences, is fast becoming a very promising multidisciplinary research ?eld. With the ever-increasing application of lar- scalehigh-throughputtechnologies,suchasgeneorproteinmicroarraysandmass spectrometry methods, the enormous body of information is growing rapidly. Bioinformaticians are posed with a large number of di?cult problems to solve, arising not only due to the complexities in acquiring the molecular infor- tion but also due to the size and nature of the generated data sets and/or the limitations of the algorithms required for analyzing these data. Although the ?eld of bioinformatics is still in its embryonic stage, the recent advancements in computational and information-theoretic techniques are enabling us to c- ductvariousinsilicotestingandscreeningofmanylab-basedexperimentsbefore these are actually performed in vitro or in vivo. These in silico investigations are providing new insights for interpretation and establishing a new direction for a deeper understanding. Among the various advanced computational methods currently being applied to such studies, the pattern recognition techniques are mostly found to be at the core of the whole discovery process for apprehending the underlying biological knowledge. Thus, we can safely surmise that the - going bioinformatics revolution may, in future, inevitably play a major role in many aspects of medical practice and/or the discipline of life sciences.
Download or read book Monte Carlo Linear Programming written by Kenneth Edward Scott and published by . This book was released on 1969 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Government wide Index to Federal Research Development Reports written by and published by . This book was released on 1967-05 with total page 1470 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Linear Least Squares Computations written by Farebrother and published by CRC Press. This book was released on 1988-02-19 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting numerous algorithms in a simple algebraic form so that the reader can easilytranslate them into any computer language, this volume gives details of several methodsfor obtaining accurate least squares estimates. It explains how these estimates may beupdated as new information becomes available and how to test linear hypotheses.Linear Least Squares Computations features many structured exercises that guidethe reader through the available algorithms, plus a glossary of commonly used terms anda bibliography of supplementary reading ... collects "ancient" and modem results onlinear least squares computations in a convenient single source . . . develops the necessarymatrix algebra in the context of multivariate statistics . .. only makes peripheral use ofconcepts such as eigenvalues and partial differentiation .. . interprets canonical formsemployed in computation ... discusses many variants of the Gauss, Laplace-Schmidt, Givens, and Householder algorithms ... and uses an empirical approach for the appraisalof algorithms.Linear Least Squares Computations serves as an outstanding reference forindustrial and applied mathematicians, statisticians, and econometricians, as well as atext for advanced undergraduate and graduate statistics, mathematics, and econometricscourses in computer programming, linear regression analysis, and applied statistics.
Download or read book Encyclopedia of Optimization written by Christodoulos A. Floudas and published by Springer Science & Business Media. This book was released on 2008-09-04 with total page 4646 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of the Encyclopedia of Optimization is to introduce the reader to a complete set of topics that show the spectrum of research, the richness of ideas, and the breadth of applications that has come from this field. The second edition builds on the success of the former edition with more than 150 completely new entries, designed to ensure that the reference addresses recent areas where optimization theories and techniques have advanced. Particularly heavy attention resulted in health science and transportation, with entries such as "Algorithms for Genomics", "Optimization and Radiotherapy Treatment Design", and "Crew Scheduling".
Download or read book An Author and Permuted Title Index to Selected Statistical Journals written by Brian L. Joiner and published by . This book was released on 1970 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: All articles, notes, queries, corrigenda, and obituaries appearing in the following journals during the indicated years are indexed: Annals of mathematical statistics, 1961-1969; Biometrics, 1965-1969#3; Biometrics, 1951-1969; Journal of the American Statistical Association, 1956-1969; Journal of the Royal Statistical Society, Series B, 1954-1969,#2; South African statistical journal, 1967-1969,#2; Technometrics, 1959-1969.--p.iv.
Download or read book NBS Special Publication written by and published by . This book was released on 1968 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Statistical Computing written by WIlliam J. Kennedy and published by Routledge. This book was released on 2021-06-23 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book the authors have assembled the "best techniques from a great variety of sources, establishing a benchmark for the field of statistical computing." ---Mathematics of Computation ." The text is highly readable and well illustrated with examples. The reader who intends to take a hand in designing his own regression and multivariate packages will find a storehouse of information and a valuable resource in the field of statistical computing.
