DeGroote School of Business

Course Description

Q782 - Dynamic Programming and Optimal Control

Many realistic business problems in operations, finance and marketing and problems in economics involve control of dynamic systems which evolve over time. This course will provide a rigorous foundation for dynamic optimization of such systems by covering dynamic programming and optimal control. The basic discrete-time dynamic programming algorithm will be illustrated with applications in inventory control, dynamic portfolio analysis and linear quadratic systems. Optimal control of continuous-time systems will be covered using maximum principle with applications in operations, finance, marketing and economics.

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