from March 28 to July 1, 2016
Rio de Janeiro (Brazil)

Mini courses > Stochastic Optimal Control

H. Zidani         

Hasnaa Zidani, Ensta-ParisTech, France

From June 20th and June 24th, 2016 (here is the schedule)

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.

Video lectures: 1, 2, 3, 4 and 5 

Slides: lecture 1, lecture 3

Online user: 1