Dynamic Optimization, Second Edition
Title | Dynamic Optimization, Second Edition PDF eBook |
Author | Morton I. Kamien |
Publisher | Courier Corporation |
Pages | 402 |
Release | 2013-04-17 |
Genre | Mathematics |
ISBN | 0486310280 |
Since its initial publication, this text has defined courses in dynamic optimization taught to economics and management science students. The two-part treatment covers the calculus of variations and optimal control. 1998 edition.
Dynamic Optimization
Title | Dynamic Optimization PDF eBook |
Author | Morton I. Kamien |
Publisher | North-Holland |
Pages | 360 |
Release | 1981 |
Genre | Business & Economics |
ISBN |
Originally published: Amsterdam: Elsevier Science, c1991.
Approximate Dynamic Programming
Title | Approximate Dynamic Programming PDF eBook |
Author | Warren B. Powell |
Publisher | John Wiley & Sons |
Pages | 487 |
Release | 2007-10-05 |
Genre | Mathematics |
ISBN | 0470182954 |
A complete and accessible introduction to the real-world applications of approximate dynamic programming With the growing levels of sophistication in modern-day operations, it is vital for practitioners to understand how to approach, model, and solve complex industrial problems. Approximate Dynamic Programming is a result of the author's decades of experience working in large industrial settings to develop practical and high-quality solutions to problems that involve making decisions in the presence of uncertainty. This groundbreaking book uniquely integrates four distinct disciplines—Markov design processes, mathematical programming, simulation, and statistics—to demonstrate how to successfully model and solve a wide range of real-life problems using the techniques of approximate dynamic programming (ADP). The reader is introduced to the three curses of dimensionality that impact complex problems and is also shown how the post-decision state variable allows for the use of classical algorithmic strategies from operations research to treat complex stochastic optimization problems. Designed as an introduction and assuming no prior training in dynamic programming of any form, Approximate Dynamic Programming contains dozens of algorithms that are intended to serve as a starting point in the design of practical solutions for real problems. The book provides detailed coverage of implementation challenges including: modeling complex sequential decision processes under uncertainty, identifying robust policies, designing and estimating value function approximations, choosing effective stepsize rules, and resolving convergence issues. With a focus on modeling and algorithms in conjunction with the language of mainstream operations research, artificial intelligence, and control theory, Approximate Dynamic Programming: Models complex, high-dimensional problems in a natural and practical way, which draws on years of industrial projects Introduces and emphasizes the power of estimating a value function around the post-decision state, allowing solution algorithms to be broken down into three fundamental steps: classical simulation, classical optimization, and classical statistics Presents a thorough discussion of recursive estimation, including fundamental theory and a number of issues that arise in the development of practical algorithms Offers a variety of methods for approximating dynamic programs that have appeared in previous literature, but that have never been presented in the coherent format of a book Motivated by examples from modern-day operations research, Approximate Dynamic Programming is an accessible introduction to dynamic modeling and is also a valuable guide for the development of high-quality solutions to problems that exist in operations research and engineering. The clear and precise presentation of the material makes this an appropriate text for advanced undergraduate and beginning graduate courses, while also serving as a reference for researchers and practitioners. A companion Web site is available for readers, which includes additional exercises, solutions to exercises, and data sets to reinforce the book's main concepts.
Elements of Dynamic Optimization
Title | Elements of Dynamic Optimization PDF eBook |
Author | Alpha C. Chiang |
Publisher | |
Pages | 0 |
Release | 2000 |
Genre | Economics, Mathematical |
ISBN | 9781577660965 |
INTRODUCTION 1.
Necessary Conditions in Dynamic Optimization
Title | Necessary Conditions in Dynamic Optimization PDF eBook |
Author | Francis Clarke |
Publisher | American Mathematical Soc. |
Pages | 130 |
Release | 2005 |
Genre | Mathematics |
ISBN | 0821835912 |
A monograph that derives necessary conditions of optimality for a general control problem formulated in terms of a differential inclusion. It expresses The Euler, Weierstrass and transversality conditions.
LQ Dynamic Optimization and Differential Games
Title | LQ Dynamic Optimization and Differential Games PDF eBook |
Author | Jacob Engwerda |
Publisher | John Wiley & Sons |
Pages | 514 |
Release | 2005-06-17 |
Genre | Business & Economics |
ISBN | 9780470015247 |
Game theory is the theory of social situations, and the majority of research into the topic focuses on how groups of people interact by developing formulas and algorithms to identify optimal strategies and to predict the outcome of interactions. Only fifty years old, it has already revolutionized economics and finance, and is spreading rapidly to a wide variety of fields. LQ Dynamic Optimization and Differential Games is an assessment of the state of the art in its field and the first modern book on linear-quadratic game theory, one of the most commonly used tools for modelling and analysing strategic decision making problems in economics and management. Linear quadratic dynamic models have a long tradition in economics, operations research and control engineering; and the author begins by describing the one-decision maker LQ dynamic optimization problem before introducing LQ differential games. Covers cooperative and non-cooperative scenarios, and treats the standard information structures (open-loop and feedback). Includes real-life economic examples to illustrate theoretical concepts and results. Presents problem formulations and sound mathematical problem analysis. Includes exercises and solutions, enabling use for self-study or as a course text. Supported by a website featuring solutions to exercises, further examples and computer code for numerical examples. LQ Dynamic Optimization and Differential Games offers a comprehensive introduction to the theory and practice of this extensively used class of economic models, and will appeal to applied mathematicians and econometricians as well as researchers and senior undergraduate/graduate students in economics, mathematics, engineering and management science.
Dynamic Optimization
Title | Dynamic Optimization PDF eBook |
Author | M.I. Kamien |
Publisher | |
Pages | 380 |
Release | 1998 |
Genre | |
ISBN |