Lecture 3 - DP: Imperfect state information, B4.2-4.3,5.1

Imperfect state information, noisy observations, information vector, machine repair

Applications:

  • Inventory control continued, inventory and shortage costs, convexity
  • Portfolio problem
Modeling utility, risk aversion

Sections from the book: Bertsekas 4.2-4.3, 5.1