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Optimization of sequential decisions by least squares Monte Carlo method

机译：最小二乘蒙特卡罗方法优化顺序决策

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摘要

The present paper considers the sequential decision optimization problem. This is an important class of decision problems in engineering. Important examples include decision problems on the quality control of manufactured products and engineering components, timing of the implementation of climate change adaptation measures, and evacuation of people and assets in the face of an emerging natural hazard event. Focusing on the last example, an efficient solution scheme is proposed by Anders and Nishijima (2011). The proposed solution scheme takes basis in the least squares Monte Carlo method, which is proposed by Longstaff and Schwartz (2001) for pricing of American options. The present paper formulates the decision problem in a more general manner and explains how the solution scheme proposed by Anders and Nishijima (2011) is implemented for the optimization of the formulated decision problem. For the purpose to demonstrate the use and advantages two numerical examples are provided, which is on the quality control of manufactured products.
机译：本文考虑了顺序决策优化问题。这是工程学中重要的决策问题。重要的例子包括关于制成品和工程部件的质量控制的决策问题，气候变化适应措施的实施时间以及面对新出现的自然灾害事件时人员和资产的撤离。针对最后一个例子，Anders和Nishijima（2011）提出了一种有效的解决方案。所提出的解决方案以最小二乘蒙特卡罗方法为基础，该方法由Longstaff和Schwartz（2001）提出，用于定价美国期权。本文以更一般的方式阐述决策问题，并解释了如何实施由Anders和Nishijima（2011）提出的解决方案来优化制定的决策问题。为了演示其用途和优点，提供了两个数值示例，它们是制成品的质量控制。

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  • 会议地点 Yerevan(AM)
  • 作者

    K. Nishijima; A. Anders;

  • 作者单位

    Department of Civil Engineering, Technical University of Denmark, Denmark;

    Department of Civil Engineering, Technical University of Denmark, Denmark;

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  • 正文语种 eng
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