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Questions tagged [dynamic-programming]

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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 ...
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0answers
63 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 ...
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0answers
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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 ...
6
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1answer
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 ...
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0answers
51 views

adaptive / smart grid choice for dynamic programming

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 $W_T$ ...
3
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0answers
185 views

Optimal Control using Dynamic Programming - Optimizing for Furthest Distance

So I have been investigating a problem to get a glider with control of its elevator to fly as far as possible from any given initial state. To keep this simple, we will view this in 2D space with the ...