INE703 Dynamic Programming

[3–0, 3 cr.]

This is a course on the theory and practice of dynamic programming. Topics covered in Deterministic DP: Shortest path algorithms including label setting and correcting, A*, and solution horizon approaches, with applications in resource allocation, knapsack problem, capacity expansion, equipment replacement, and traffic routing; infinite decision trees and dynamic programming networks with cycles. Topics covered in Stochastic DP are stochastic shortest path problem and Markov decision processes. Applications include asset divesture, capital budgeting, portfolio selection, inventory control, systems reliability, and maximization of expected utility with constant risk posture.

Prerequisites: INE701 Linear Programming