SEEM 3470 Dynamic Optimization and Applications

2013-2014 Second Term

RECENT UPDATES

l Homework 4 has been posted. Due date and time: April 24^th, 5pm.

l You can pick up your Homework 3 at 511D, ERB

l Homework 2 has been posted. Due date and time: Feb 27^th, 5pm. Assignment box: B16, ERB 5^th Floor

GENERAL INFORMATION

Instructor: ShiqianMa

Office: ERB 508

Email: sqma[at]se.cuhk.edu.hk

Lectures Hours & Venue: Mondays 9:30am – 12:15pm, ERB 404

Office Hours: 3pm – 4:30pm, Fridays, and by appointment

Assignment Box: B16, ERB 5^th Floor

Course Email:seem3470 [at] se.cuhk.edu.hk (Students can send email to this address whenever they have any questions.)

Teaching Assistant: Zirui Zhou

Tutorial Time & Venue: Tuesdays 3:30pm-4:15pm, YIA 401 ( Yasumoto International Academic Park) .

Office Hours: Fridays 10am – 12pm, ERB 511D

Grading:

l Homework: 30%

l Midterm Exam: 30%

l Final Exam: 40%

COURSE DESCRIPTION

In this course, we will cover basic models and develop solution techniques for problems that involve sequential decision making. Then, we will discuss their applications to network problems (e.g., shortest paths, the travelling salesman problem) and discrete time dynamic optimization problems of finite and infinite horizon (e.g., linear-quadratic optimal control, inventory control, portfolio analysis). Approximation methods for problems that involve large state spaces will also be discussed.

Prerequisites: SEEM 2430 and SEEM 3440 or their equivalents.

LEARNING RESOURCES

Students may find the following textbooks useful for this course:

l Richard Bellman, Dynamic Programming, Dover Publications, Inc. 2003.

l Warren B. Powell, Approximate Dynamic Programming: Solving the Curses of Dimensionality(2^ndEdition), Wiley, 2010.

l Dimitri P. Bertsekas, Dynamic Programming and Optimal Control (Vol. 1), Athena Scientific, 2005.

l Slides of Bertsekas: http://www.athenasc.com/DP_Slides_2011.pdf

HANDOUTS

l Handout 0: Information Sheet

l Handout 1: Introduction Programming to Dynamic

l Handout 2: Basics of Dynamic Programming

l Handout 3: Dynamic Programming Examples

l Handout 4: Deterministic Systems and the Shortest Path Problem

l Handout 5: Label Correcting Algorithms for the Shortest Path Problem

l Handout 6: More Examples on DP and Shortest Path Problem

l Handout 7: More DP Applications

l Handout 8: Introduction to Stochastic Dynamic Programming

l Handout 9: Dynamic Inventory Control

l Handout 10: Stochastic Inventory Control and Stochastic Stopping

l Handout 11: Infinite–Horizon Dynamic Programming Problems

HOMEWORKS

l Homework Set 1 (Solution)

l Homework Set 2 (Solution)

l A Sample of Midterm Exam (Solution)

l Homework Set 3 (Solution)

l Homework Set 4 (Solution)

TUTORIAL NOTES

l Tutorial 1

l Tutorial 2

Department of Systems Engineering and Engineering Management

The Chinese University of Hong Kong

Last updated: 13-02-2014.