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 6 - Dynamic Programming, discrete problem, B1.2-1.3
Completion requirements
Introduction to the course, motivation and organization
Classification of problems. Topics covered on the course:
- calculus of variations
- optimal control problem
- dynamic programming
Dynamic Programming problem and terminology, discrete vs. continuous time, finite vs. infinite state, finite vs. infinite horizon, state, control, disturbance, deterministic vs. stochastic systems, control law and policy, admissible control laws, reachable states, open vs. closed loop controls, cost-to-go modeling, recursive computation, multistage decision making
Modeling dynamic optimization problems
Dynamic Programming algorithm
Sections from the book: Bertsekas 1.2, 1.3