M. C. Pinar
Wed. 2-5 pm.
and Recommended Resources:
- Recommended Reading:
Dynamic Programming and Optimal Control Vol. 1 and 2,
by D. Bertsekas, Athena Scientific.
The course is an introduction to dynamic programming with an emphasis to
discrete-time problems. It is open to advanced undergraduate and all graduate
students. The first part will be devoted to deterministic dynamic programming while the second part to stochastic dynamic programming.
We shall not adhere to any particular textbook but use lecture notes
of a similar course taught at Princeton.
Dimitri Bertsekas's book is useful as reading material, but
lectures are based on the instructor's notes and other resources that will be made available
to the students in MOODLE. No
prerequisites, except familiarity with calculus, linear algebra, probability and
optimization, are assumed.
- Elementary Path Problems
- Equipment Replacement
- Resource Allocation
- Shortest Path Problems
Stochastic Path Problems(week 6)
Optimal Stopping (weeks 7-8-9)
American Options (week 10)
Bandit Problems (week 11)
Other topics (Approximate DP, Reinforcement Learning etc..) (as time permits)
Policy on Homework and Exams
- Your success
in the course depends greatly on doing the homework exercises on your
- I will
assign seven or eight homeworks.
- Late hws will
not be accepted.
- Cheating in
homework and exams has serious consequences. Therefore, all work
submitted should reflect your own effort.
| Midterm Test:
||30 % Date: TBA
||30 % Date and Place: TBA