# Questions tagged [dynamic-programming]

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7 questions
58 views

### Python sequence cluster exercise

I am working through an exercise in my textbook and implementing the code in Python to practice dynamic programming. I feel like I am right on the edge of figuring it out, but after many hours, I come ...
33 views

### Guide for finite-difference schemes for Hamilton-Jacobi-Bellman Equations

I need to solve a simple, low-dimensional Hamilton-Jacobi-Bellman equation. Is there a simple guide for doing this numerically using finite-difference schemes? I found a few research articles ...
65 views

### Nonlinear global optimization algorithm that can use dynamic programming

I've asked this question on stackoverflow 2 weeks ago, but, judging by zero response, that probably was the wrong forum. Therefore copying it here: Let F0,...,Fn ...
50 views

### Why do the policy iteration and value function iteration not match in this exercise

I'm working through the book Approximate Dynamic Porgramming by Warren B. Powell. Currently I'm solving exercise 3.3 and 3.5. Let me state the exercise (I'm summarizing the text from the boook) We ...
81 views

### $L_2$ projection with integer constraints and prescribed sum

Suppose I am given a vector $v^0\in\mathbb{R}^n$ and integers $k,\ell\in\mathbb{Z}$. Assuming $k$ is close to zero (e.g. $0\leq k\leq5$), is there an algorithm for solving the following integer ...
I've a read a paper about investing where they used a dynamic programming approach to solve a finite horizon problem, i.e. $$\max_{x_t} E[u(W_T)]$$ where $u$ is a utility function and $W_T$ ...