Optimization Theory II

Spring 2012

Prof. Dr. Ronald H.W. Hoppe

Contents:
  1. Stochastic Linear and Nonlinear Programming
  2. Deterministic and Stochastic Dynamic Programming
  3. Continuous-Time Optimal Control
  4. Optimal Control in Function Space
Prerequisites: Graduate standing or consent of instructor.

Textbooks: 
  1. D.P. Bertsekas; Dynamic Programming and Optimal Control, Vol. I, 3rd Edition. Athena Scientific, Belmont, 2005
  2. J.R. Birge and F.V. Louveaux; Introduction to Stochastic Programming. Springer, New York, 1997
  3. H.O. Fattorini; Infinite Dimensional Optimization and Control Theory. Cambridge University Press, Cambridge, 1999


Script:
Chapter 1
Chapter 2
Chapter 3
Chapter 4