Markov decision processes are essentially the randomized equivalent of a dynamic program.
Category: Stochastic Control 2019
Dynamic Programming
We briefly explain the principles behind dynamic programming and then give its definition.
Notes for Stochastic Control 2019
The link below contains notes PDF for this years stochastic control course
I’ll upload individual posts for each section. I’ll likely update these notes and add more exercises over the coming semester. I’ll add this update in a further post at the end of the course. Comments, typos, suggestions are always welcome.
Applied Probability Notes 