Stochastic Optimal Control/ Hasnaa Zidani.

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Zidani, Hasnaa

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SVAN 2016 (IMPA, Rio de Janeiro, Brazil)

Publication details: Rio de Janeiro: IMPA, 2016.Description: Mini Course - 5 classesOther title:

Minicurso: Stochastic Optimal Control

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Mini Course 5 - This course will be dedicated to optimal control problems with some applications in economics and energy management. These stochastic optimization problems will be addressed by a dynamic programming approach that characterizes the value function as solution to a partial differential equation, called Hamilton-Jacobi equation. We will first discuss the properties of the function value and its role in deriving the optimal policy. Then we will see some numerical methods for solving the control problems .

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