MS-E2148 - Dynamic optimization, 16.01.2019-09.04.2019
Kurssiasetusten perusteella kurssi on päättynyt 09.04.2019 Etsi kursseja: MS-E2148
Lecture 9 - Discounted problems, numerical methods
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