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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

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Lecture 9 - Discounted problems, numerical methods

Completion requirements

Stationary, discounted problems

DP algorithm and infinite horizon

Bellman equation and numerical methods:

  • backward recursion
  • value iteration
  • policy iteration

functional equation, fixed-point iteration

Sections from the book: Bertsekas vol 2, Miranda&Fackler 2002: Applied computational economics and finance

Previous activity
◄ Lecture 8 - DP: Imperfect state information, B4.2-4.3,5.1
Next activity
Lecture 10 - Continuous time problem, HJB equation, B3.1-3.2,K3.11 ►
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