We present an Approximate Dynamic Programming (ADP) approach for the multidimensional knapsack problem (MKP). We approximate the value function (a) using parametric and nonparametric methods and (b) ...

We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate DP have typically ...

This paper proposes a new deep-learning-based algorithm for high-dimensional Bermudan option pricing. To the best of our knowledge, this is the first study of the arbitrary-order discretization scheme ...