A nonlinear certainty equivalent approximation method for dynamic stochastic problems
نویسندگان
چکیده
منابع مشابه
A dynamic programming approach for solving nonlinear knapsack problems
Nonlinear Knapsack Problems (NKP) are the alternative formulation for the multiple-choice knapsack problems. A powerful approach for solving NKP is dynamic programming which may obtain the global op-timal solution even in the case of discrete solution space for these problems. Despite the power of this solu-tion approach, it computationally performs very slowly when the solution space of the pr...
متن کاملA Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems
When the option pricing problem is of several dimensions, for example, basket options, deterministic methods such as finite difference are almost intractable; because the complexity increases exponentially with the dimension and one almost inevitably needs to use Monte Carlo simulations. Moreover, many problems in finance, for example, pricing in incomplete markets and portfolio optimization, l...
متن کاملA Stochastic Approximation for Fully Nonlinear Free Boundary Problems
We present a stochastic numerical method for solving fully non-linear free boundary problems of parabolic type and provide a rate of convergence under reasonable conditions on the non-linearity.
متن کاملNon-Certainty-Equivalent Adaptive Control of a Nonlinear Aeroelastic System
The development of a non-certainty-equivalent adaptive control system for the control of a nonlinear aeroelastic system is the subject of this paper. The prototypical aeroelastic wing section considered here includes structural nonlinearity and a single control surface for the purpose of control. Its dynamical model has two-degree-of-freedom and describes the plunge and pitch motion. It is assu...
متن کاملa dynamic programming approach for solving nonlinear knapsack problems
nonlinear knapsack problems (nkp) are the alternative formulation for the multiple-choice knapsack problems. a powerful approach for solving nkp is dynamic programming which may obtain the global op-timal solution even in the case of discrete solution space for these problems. despite the power of this solu-tion approach, it computationally performs very slowly when the solution space of the pr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Quantitative Economics
سال: 2017
ISSN: 1759-7323
DOI: 10.3982/qe533