Media Summary: A version of maximum principle in discrete time control system. Pontryagin minimum principle, Bellman's principle of optimality, Dynamic Markov decision problems, discounted cost, average cost, total cost problems, optimality of Markov policies.
Ece 5759 Nonlinear Programming Lec 30 - Detailed Analysis & Overview
A version of maximum principle in discrete time control system. Pontryagin minimum principle, Bellman's principle of optimality, Dynamic Markov decision problems, discounted cost, average cost, total cost problems, optimality of Markov policies. Approximation of dynamic programs using rolling horizon approach, rollout algorithm, and reinforcement learning. Bellman's principle of optimality and Dynamic Solving a resource allocation problem using PMP and DP.
Convexity of dual problem, geometric interpretation of weak duality theorem, dual of Convergence of gradient descent methods, rate of convergence of gradient descent methods. Maximum principle, necessary conditions for optimality for control problems with running cost. Gauss-Newton's method and Conjugate direction method. Pontryagin Maximum principle for discrete time optimal control.
