Dynamic optimization

Lecturer: Jonas Tölle
Teaching assistant: Armando W. Gutiérrez

Content:

• Calculus of variations
• Optimal control
• Pontryagin minimum principle
• Infinite time horizon in calculus of variations
• Minimum time and control-effort problems
• Discrete time/state problems
• Continuous time problem, HJB equation
• Discounted problems, numerical methods

Study material:

• D. E. Kirk: Optimal Control Theory. Prentice Hall, 1970 (2004)
• D. P. Bertsekas: Dynamic Programming and Optimal Control, vol 1 (and vol 2). Athena Scientific, 1995