MS-E2148 - Dynamic optimization, 16.01.2019-09.04.2019

Materials

• Materials
  

  Materials

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

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

  • • Lecture files
      • 0_practicalities.pdf32.5KB
      • 1_lecture.pdf142.1KB
      • 2_lecture.pdf91.4KB
      • 3_lecture.pdf87KB
      • 4_lecture.pdf81.8KB
      • 5_lecture.pdf76.8KB
      • 6_lecture.pdf217KB
      • 7_lecture.pdf224KB
      • 8_lecture.pdf126KB
      • 9_lecture.pdf64.4KB
      • 10_summary.pdf44.6KB
      • additional_topic_brownian-motion.pdf979.9KB
      • additional_topic_stochastic_control.pdf440.3KB
      • controllability and observability.pdf172.1KB
      • dp infinite horizon_policy_value_iterations.pdf226.9KB
      • equations given in exam.pdf17KB
      • history_cold war and maximum principle.pdf644.8KB
      • history_pontryagin in aerospace.pdf150.5KB
      • kalman filter.pdf249.5KB
      • policy_iteration.pdf70KB

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  • Lecture 1 - Introduction, Calculus of variations, Euler equation, K4 Folder
  • Lecture 2 - CoV: Transversality conditions, solutions with corners, K4 Folder
  • Lecture 3 - Optimal control, K5 Folder
  • Lecture 4 - Pontryagin minimum principle, Infinite time horizon in CoV, K5,KS15-16 Folder
  • Lecture 5 - Min. time and control-effort prob., singular solutions, K5 Folder
  • Lecture 6 - Dynamic Programming, discrete problem, B1.2-1.3 Folder
  • Lecture 7 - DP: Applications, B2.1-2.2,4.4 Folder
  • Lecture 8 - DP: Imperfect state information, B4.2-4.3,5.1 Folder
  • Lecture 9 - Discounted problems, numerical methods Folder
  • Lecture 10 - Continuous time problem, HJB equation, B3.1-3.2,K3.11 Folder
  • Lecture 11 - Summary Folder