Dynamic Programming Basic Concepts and Applications
Dynamic programming deals with sequential decision processes, which are models of dynamic systems under the control of a decision maker. At each point in time at which a decision can be made, the decision maker chooses an action from a set of available alternatives, which generally depends on the current state of the system. The objective is to find a sequence of actions (a so-called policy) that minimizes the total cost over the decision making horizon.
In what follows, deterministic and stochastic dynamic programming problems which are discrete in time will be considered. At first, Bellman’s equation and principle of optimality will be presented upon which the solution method of dynamic programming is based. After that, a large number of applications of dynamic programming will be discussed.
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