MS-E2148 - Dynamic optimization, 16.01.2019-09.04.2019
This course space end date is set to 09.04.2019 Search Courses: MS-E2148
Lecture 3 - Optimal control, K5
Krav för slutförande
Solving optimal control problem using calculus of variations
CoV with differential equation constraints
Lagrange multipliers, costate variables, Hamiltonian, sufficient conditions, second-order conditions, transversality conditions
Relationship between HJB and the conditions derived using CoV
additional topic if we have time: stochastic control, stochastic HJB, Ito formula, Browinian motion
Sections from the book: Kirk 5