Man pages for mludkov/mlOSP
Machine Learning and Regression Monte Carlo Algorithms for Optimal Stopping
| batch.adsa | Calculates reallocated batch size or new input location for... |
| batch.ddsa | Calculates reallocated batch size for DDSA |
| batch.mlb | Multi-Level Batching Heuristic |
| batch.rb | Calculates weights for batch size in RB |
| CalcOverhead | Calculates c_over in ABSUR |
| call.payoff | Arithmetic average Call payoff (mean(x)-K)_+ |
| capexp.impulse | Compute intervention function for Capacity Expansion impulse... |
| cf.absur | Calculates weights for location and batch size in ABSUR |
| cf.csur | Compute reduction in contour-distance |
| cf.el | Compute expected loss using the optimal stopping loss... |
| cf.mcu | Maximum Contour Uncertainty criterion |
| cf.smcu | Straddle Maximum Contour Uncertainty criterion |
| cf.sur | Compute EI for Contour Finding using the ZC-SUR formula |
| cf.tMSE | targeted Mean Squared Error criterion |
| digital.put.payoff | geometric digital Put payoff |
| forest.impulse | Compute intervention function for the Faustmann forest... |
| forward.impulse.policy | Simulate a payoff of an impulse strategy along a set of... |
| forward.sim.policy | Forward simulation based on a sequence of emulators |
| geom.put.payoff | geometric basket Put |
| int_2d | Initial design for the 2D Bermudan Put example |
| int300_3d | Initial design for the 3D Bermudan max-Call example |
| lin.impulse | Compute intervention function for an impulse problem wth... |
| maxi.call.payoff | Max Call payoff |
| mini.put.payoff | Min Put payoff |
| osp.fixed.design | Generic dynamic emulation of OSP with a non-sequential design |
| osp.impulse.control | LS-flavor RMC algorithm with a variety of regression methods... |
| ospPredict | Forward simulation of a swing payoff based on a sequence of... |
| osp.prob.design | Longstaff-Schwartz RMC algorithm with a variety of regression... |
| osp.probDesign.piecewisebw | Longstaff Schwartz Algorithm using the Bouchard-Warin method... |
| osp.seq.batch.design | Adaptive Batching designs for optimal stopping |
| osp.seq.batch.design.simplified | Adaptive Batch design for optimal stopping (simplified... |
| osp.seq.design | Sequential design for optimal stopping |
| osp.tvr | Tsitsiklis van Roy RMC algorithm with a variety of regression... |
| pegging.alg | Calculates reallocated batch size for ADSA |
| plot_style | GGplot style |
| plt.2d.surf | Visualize a 2D emulator + stopping region |
| plt.2d.surf.batch | Visualize and compare 2D emulator + stopping region for two... |
| plt.2d.surf.with.batch | Visualize 2D emulator + stopping region + batch amounts |
| put.payoff | Arithmetic basket Put for d-dim x @title American Put payoff |
| r.reallocate | Calculates reallocated batch size |
| sim.bm | Simulate 1D arithmetic Brownian Motion |
| sim.expOU.sv | Simulate an exp-OU stoch volatility model with 1 or 2 vol... |
| sim.gbm | Simulate paths of Geometric Brownian Motion with constant... |
| sim.gbm.asian | Simulate 1D Brownian Motion for Asian Options |
| sim.gbm.cor | Simulate paths of correlated GBM with a constant correlation |
| sim.gbm.matrix | Simulate paths of correlated GBM |
| sim.gbm.moving.ave | Simulate 1D Brownian Motion for Moving Average Asian Options |
| sim.logOU_Discrete | Simulate from 1-D discretized exponential Ornstein Uhlenbeck... |
| sim.ouExp | Simulate from exponential Ornstein Uhlenbeck process |
| sim.price.and.capacity | Simulate 2D process for price and capacity |
| sv.put.payoff | Basket Put with stochastic volatility |
| swing.fixed.design | Generic dynamic emulation of a multiple-stopping problem with... |
| swing.policy | Forward simulation of a swing payoff based on a sequence of... |
| treeDivide.BW | Create a Bouchard-Warin equi-probable grid of regression... |
| treeDivide.BW.1d | 1-d version of 'treeDivide.BW' that stores all the local fits |
