This is an archived course. A more recent version may be available at ocw.mit.edu.
Lectures: 2 sessions / week, 1.5 hours / session
Recitations: 1 session / week, 1 hour / session
This course covers the basic models and solution techniques for problems of sequential decision making under uncertainty (stochastic control). We will consider optimal control of a dynamical system over both a finite and an infinite number of stages (finite and infinite horizon). We will also discuss some approximation methods for problems involving large state spaces. Applications of dynamic programming in a variety of fields will be covered in recitations.
Bertsekas, Dimitri. Dynamic Programming and Optimal Control. Vol. I and II. 3rd ed. Nashua, NH: Athena Scientific, 2007. ISBN: 9781886529083.
The textbook web page contains freely downloadable supplementary material, including theoretical problem solutions and a periodically updated version of the research-oriented Chapter 6 of Vol. II on Approximate Dynamic Programming.
| ACTIVITIES | PERCENTAGES |
|---|---|
| Homework (11 problem sets) | 25% |
| Grading | 10% |
| Midterm | 35% |
| Project | 30% |
Details about the self-grading policy can be found here: (PDF)
Late homework will be accepted only in extraordinary circumstances, and may in any case be penalized.
Cooperation is allowed in doing the homework. You are encouraged to discuss approaches to solving homework problems with your classmates, but you must always write up the solutions on your own. Similarly, you may use references or other sources to help solve homework problems, but you must write up the solution on your own and cite your sources. Copying solutions or code, in whole or in part, from other students or any other source without acknowledgement will be considered a case of academic dishonesty.
We may use problems from previous terms for the homework. Any use of written solutions from previous terms is strongly prohibited. You will gain very little in the short run and you will lose significantly in mastering the material in depth.
You can work alone or in a group of two people. There will be project presentations during the final exam period. See the projects section for further details.
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