Media Summary: A version of maximum principle in discrete time control system. Pontryagin minimum principle, Bellman's principle of optimality, Dynamic Maximum principle, necessary conditions for optimality for control problems with running cost.
Ece 5759 Nonlinear Optimization Lec 30 - Detailed Analysis & Overview
A version of maximum principle in discrete time control system. Pontryagin minimum principle, Bellman's principle of optimality, Dynamic Maximum principle, necessary conditions for optimality for control problems with running cost. Newsvendor problem, solving multi-stage stochastic program with recourse using dynamic Review of probability theory, Review of newsvendor problem, decomposition of newsvendor problem into two-stage Newsvendor's problem and two-stage stochastic program with recourse.
Approximation of dynamic programs using rolling horizon approach, rollout algorithm, and reinforcement learning.
