The Longstaff-Schwartz LSM approach is nowadays ubiquitous(at least in the academic literature) in pricing path dependant derivatives. Up to now I have mostly worked with lattice methods. My experience in impelemting those has shown that there are often ways to tweak them and also lot of pittfalls along the way.
To those of you who have some experience in working with LSM:
Aside from the usual Monte-Carlo-Optimization techniques (e.g. variance reduction, importance sampling etc.) are there any optimizations that are particular to the LSM approach ? (Perhaps some paper on the choice of the interpolating polynomial) ?
What are possible pittfalls when implementing and working with the model ? When can LSM go really wrong/ in which cases does it fail to price correctly ?