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Commodity Resource Valuation And Extraction: A Pathwise Programming Approach
- Publication Year :
- 2016
-
Abstract
- Complexity and uncertainty associated with commodity resource valuation and extraction requires stochastic control methods suitable for high dimensional states. Recent progress in duality and trajectory-wise techniques has introduced a variety of fresh ideas to this field with surprising results. This paper presents a first application of this promising development to commodity extraction problems. We introduce efficient algorithms for obtaining approximate solutions along with a diagnostic technique, which provides a quantitative measure for solution performance in terms of the distance between the approximate and the optimal control policy.<br />Comment: 17 pages, 5 figures and 5 tables. Fixed some minor typos
- Subjects :
- Mathematics - Optimization and Control
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1602.00210
- Document Type :
- Working Paper