17 citations · 122 across the 28 of their papers we have counts for
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math.OC2017★ 13 cited
Regress-Later Monte Carlo for optimal control of Markov processes
Alessandro Balata, Jan Palczewski
We develop two Regression Monte Carlo algorithms (value and performance iteration) to solve general problems of optimal stochastic control of discrete-time Markov processes. We for…
math.OC2017★ 9 cited
Regress-Later Monte Carlo for Optimal Inventory Control with applications in energy
Alessandro Balata, Jan Palczewski
We develop a Monte-Carlo based numerical method for solving discrete-time stochastic optimal control problems with inventory. These are optimal control problems in which the contro…