## Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage

- Selvaprabu Nadarajah, François Margot, Nicola Secomandi
- Management Science
- 2015

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@inproceedings{Desai2009ASA, title={A Smoothed Approximate Linear Program}, author={Vijay V. Desai and Vivek F. Farias and Ciamac C. Moallemi}, booktitle={NIPS}, year={2009} }

- Published 2009 in NIPS

We present a novel linear program for the approximation of the dynamic programming costto-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically relied on a natural ‘projection’ of a well studied linear program for exact dynamic programming. Such programs restrict attention to approximations that are lower bounds to the optimal cost-to-go function. Our program—the ‘smoothed approximate linear program’— is distinct from such approaches and… CONTINUE READING

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