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 10 - Continuous time problem, HJB equation, B3.1-3.2,K3.11
Completion requirements
Continuous time problem: formulation and discretization
Hamilton-Jacobi-Bellman (HJB) equations, derived from the corresponding discrete problem and using dynamic programming, partial differential equation (partial derivates with respect to time t and space x), cost to go in continuous time J(t,x), Hamiltonian H=g+p'f, p is costate variable (Lagrange "multiplier"), sufficient conditions
first solution to the control problem, we will derive them in other form later using calculus of variations
Sections from the book: Bertsekas 3.1-3.2, Kirk 3.11