BUSINESS Q782 / Dynamic Programming and Optimal Control

3 unit(s)

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.