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Dynamic programming and optimal control Dimitri P. Bertsekas
Publisher: Athena Scientific

Topics include linear algebra (lecture notes), real analysis (notes), calculus with one variable (notes), multivariate calculus (notes), convex analysis (notes), optimal control theory (notes), and dynamic programming (notes). Bertsekas, “Dynamic Programming and Optimal Control”, Vols. Dynamic programming and optimal control: Hamilton-Jacobi-Bellman equation, verification arguments, optimal stopping. Although computer scientists commonly teach that dynamic programming has nothing to do with dynamical systems, in fact it can be used to compute optimal control algorithms for them. Bertsekas, “Network Optimization: Continuous and Discrete Models”, Athena Scientific, 1998. I and II, Athena Scientific, 1995, (3rd Edition Vol. However, in the worst case, such a strategy may end up performing full enumeration. In many practical situations, this strategy hits the optimal solution in a polynomial number of decision steps. Dynamic Programming and Optimal Control. In contrary, results on optimal nonlinear dynamic optimization problems are rare. Linear parabolic equations: fundamental solution, boundary value problems, maximum principle, transform methods. Course information and blog for Richard Weber's course for graduate students at London Business School in January – March 2013.