Dynamic Programming

3 Credits

This course is concerned with the dynamic programming approach to sequential decision making under uncertainty, exact solution algorithms, and approximate methods adapted to large-scale problems. Value iteration, policy iteration and lambda-policy iteration are introduced and analyzed using fixed-point theory. The linear optimization approach to dynamic programming is introduced. Special policy structures are studied. Algorithms based on sampling and on the use of linear approximation architectures are covered. Prerequisites: ISE 316 or IE 316