IEOR 268: Applied Dynamic Programming

Instructor: Javad Lavaei
Time: Mondays and Wednesdays, 9:30-11am
Location: 1174 Etcheverry
Instructor's Office Hours: Tuesdays, 9:30-11am
Grading Policy:

• 10% active participation

• 30% homework

• 60% 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

• Parametric approximation

• Reinforcement learning

Textbook

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

• “Reinforcement Learning and Optimal Control” by Dimitri P. Bertsekas, Athena Scientific (optional)