An approximate dynamic programming approach to benchmark practice-based heuristics for natural gas storage valuation

Operations Research

Volumn 58, Issue 3, 2010, Pages 564-582

  Lai, Guoming ^a   Margot, François ^b   Secomandi, Nicola ^b  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^b CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATE DYNAMIC PROGRAMMING; CAPACITY CONSTRAINTS; COMPUTATIONAL EFFORT; COMPUTATIONAL REQUIREMENTS; DYNAMIC OPTIMIZATION; HIGH-DIMENSIONAL; LOWER AND UPPER BOUNDS; LOWER BOUNDS; MONTE CARLO SIMULATION; NATURAL GAS PRICE; NATURAL GAS STORAGE; REAL OPTIONS; REOPTIMIZATION; STOCHASTIC DYNAMIC PROGRAMMING; UPPER BOUND;

COMPUTER SIMULATION; GASES; HYDROCARBONS; MONTE CARLO METHODS; NATURAL GAS; OPTIMIZATION; STOCHASTIC MODELS;

DYNAMIC PROGRAMMING;

EID: 77953561812     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1090.0768     Document Type: Article

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