MS-E2148 - Dynamic optimization, 16.01.2019-09.04.2019

Topic outline

• Materials
  books: B=Bertsekas vol 1, K=Kirk, KS=Kamien/Schwartz

  -=The lecture files may be updated as we go on=-

  • Select activity Lecture files

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    • Lecture files
      • 0_practicalities.pdf
      • 1_lecture.pdf
      • 2_lecture.pdf
      • 3_lecture.pdf
      • 4_lecture.pdf
      • 5_lecture.pdf
      • 6_lecture.pdf
      • 7_lecture.pdf
      • 8_lecture.pdf
      • 9_lecture.pdf
      • 10_summary.pdf
      • additional_topic_brownian-motion.pdf
      • additional_topic_stochastic_control.pdf
      • controllability and observability.pdf
      • dp infinite horizon_policy_value_iterations.pdf
      • equations given in exam.pdf
      • history_cold war and maximum principle.pdf
      • history_pontryagin in aerospace.pdf
      • kalman filter.pdf
      • policy_iteration.pdf
  • Select activity Lecture 1 - Introduction, Calculus of variations, Euler equation, K4

    

    Lecture 1 - Introduction, Calculus of variations, Euler equation, K4 Folder
  • Select activity Lecture 2 - CoV: Transversality conditions, solutions with corners, K4

    

    Lecture 2 - CoV: Transversality conditions, solutions with corners, K4 Folder
  • Select activity Lecture 3 - Optimal control, K5

    

    Lecture 3 - Optimal control, K5 Folder
  • Select activity Lecture 4 - Pontryagin minimum principle, Infinite time horizon in CoV, K5,KS15-16

    

    Lecture 4 - Pontryagin minimum principle, Infinite time horizon in CoV, K5,KS15-16 Folder
  • Select activity Lecture 5 - Min. time and control-effort prob., singular solutions, K5

    

    Lecture 5 - Min. time and control-effort prob., singular solutions, K5 Folder
  • Select activity Lecture 6 - Dynamic Programming, discrete problem, B1.2-1.3

    

    Lecture 6 - Dynamic Programming, discrete problem, B1.2-1.3 Folder
  • Select activity Lecture 7 - DP: Applications, B2.1-2.2,4.4

    

    Lecture 7 - DP: Applications, B2.1-2.2,4.4 Folder
  • Select activity Lecture 8 - DP: Imperfect state information, B4.2-4.3,5.1

    

    Lecture 8 - DP: Imperfect state information, B4.2-4.3,5.1 Folder
  • Select activity Lecture 9 - Discounted problems, numerical methods

    

    Lecture 9 - Discounted problems, numerical methods Folder
  • Select activity Lecture 10 - Continuous time problem, HJB equation, B3.1-3.2,K3.11

    

    Lecture 10 - Continuous time problem, HJB equation, B3.1-3.2,K3.11 Folder
  • Select activity Lecture 11 - Summary

    

    Lecture 11 - Summary Folder