2 citations · 4 across the 6 of their papers we have counts for
6 papers
Value iteration for approximate dynamic programming under convexity
Jeremy Yee
This paper studies value iteration for infinite horizon contracting Markov decision processes under convexity assumptions and when the state space is uncountable. The original valu…
rcss: Subgradient and duality approach for dynamic programming
Juri Hinz, Jeremy Yee
This short paper gives an introduction to the \emph{rcss} package. The R package \emph{rcss} provides users with a tool to approximate the value functions in the Bellman recursion…
rlsm: R package for least squares Monte Carlo
Jeremy Yee
This short paper briefly describes the implementation of the least squares Monte Carlo method in the rlsm package. This package provides users with an easy manner to experiment wit…
Convex function approximations for Markov decision processes
Jeremy Yee
This paper studies function approximation for finite horizon discrete time Markov decision processes under certain convexity assumptions. Uniform convergence of these approximation…
Optimal Forward Trading and Battery Control Under Renewable Electricity Generation
Juri Hinz, Jeremy Yee
The increased market penetration of renewable energy sources and the rapid development of electric battery storage technologies yield a potential for reducing electricity price vol…
Commodity Resource Valuation And Extraction: A Pathwise Programming Approach
Juri Hinz, Tanya Tarnopolskaya, Jeremy Yee
Complexity and uncertainty associated with commodity resource valuation and extraction requires stochastic control methods suitable for high dimensional states. Recent progress in…