IEOR 268: Applied Dynamic Programming

Instructor: Javad Lavaei
Time: Tuesdays and Thursdays, 9:30-11 am
Location: 3113 Etcheverry
Office Hours: Mondays, 11am-noon
TA: Sheng Liu (lius10 AT berkeley.edu)
Grading Policy:

• 10% active participation

• 25% homework

• 65% term project

Description

This course provides a fundamental understanding of dynamic programming and its applications in different areas. Some of the topics covered in this course are as follows:

• Discrete-time deterministic and stochastic problems

• Continuous-time deterministic and stochastic problems

• Deterministic and stochastic shortest path problems

• Finite-horizon problems

• Infinite-horizon discounted and undiscounted problems

• Problems with perfect state information

• Problems with imperfect state information

• Approximate dynamic programming

Textbook

• “Dynamic Programming and Optimal Control” (2 volume set) by Dimitri P. Bertsekas, Athena Scientific, 4th Edition.

• “Approximate Dynamic Programming: Solving the Curses of Dimensionality” by Warren B. Powell, 2nd Edition (optional).