I'm looking to understand the problem of least squares monte carlo that is used in valuation of bermudan options, but from a simpler context.
Say I have random variables $X$ and $Y$ which are uniform [0,1] and independent. Define $Z=X^2+Y^2+XY$. Let us say I want to evaluate the expectation $E(X|Z=a)$ using Monte Carlo. Can least squares MC help in this case? If so, can anyone outline the process?
I'm trying to understand the core of the algorithm without the tedious notation one has to go through while reading papers and other articles explaining MC least squares.