- Optimal Stopping Problems; One-Step-Look-Ahead Rule
- The Secretary Problem.
- Infinite Time Stopping
Continue reading “Optimal Stopping”
- High level idea: Policy Improvement and Policy Evaluation.
- Value Iteration; Policy Iteration.
- Temporal Differences; Q-factors.
Continue reading “Algorithms for MDPs”
- Positive Programming, Negative Programming & Discounted Programming.
- Optimality Conditions.
Continue reading “Infinite Time Horizon, MDP”
- Markov Decisions Problems; Bellman’s Equation; Two examples
Continue reading “Markov Decision Processes”
- Dynamic Programs; Bellman’s Equation; An example.
Continue reading “Dynamic Programming”
- The Hamilton-Jacobi-Bellman Equation.
- Heuristic derivation of the HJB equation.
Continue reading “Diffusion Control Problems”
- Continuous-time dynamic programs
- The HJB equation; a heuristic derivation; and proof of optimality.
Continue reading “Continuous Time Dynamic Programs”