Pathwise Dynamic Programming

Bender, C; Gartner, C; Schweizerb, N

Bender, C (reprint author), Saarland Univ, Dept Math, Postfach 151150, D-66041 Saarbrucken, Germany.

MATHEMATICS OF OPERATIONS RESEARCH, 2018; 43 (3): 965

Abstract

We present a novel method for deriving tight Monte Carlo confidence intervals for solutions of stochastic dynamic programming equations. Taking some a......

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