The following lecture notes are made available for students in AGEC 637 or other interested readers. An updated version of the notes is created each summer during the course and will be available at least 48 hours before each class.  If they are not available in time, printed copies will be provided in class.  Check the date at the top of each set of notes; you may be looking at last year's version. If taking the course, you will want to wait for an updated version to be created before printing the notes.

These notes provide an introduction to optimal control and numerical dynamic programming. For a more complete treatment of these topics, please consult the books listed on the syllabus.

Optimal Control

• Lecture 1    Intro to Dynamic Optimization
• Lecture 2    Differential Equations    Supplementary notes on Eigen values
• Lecture 3    Intro to Optimal Control
• Lecture 4    Transversality conditions
• Lecture 5    Dorfman 1969 - an economic understanding of optimal control
• Lecture 6    Lessons in the optimal use of natural resource from optimal control theory
• Lecture 13  Optimal control with constraints       (Lectures 13 &14 will be covered in a single class period)
• Lecture 14  Bang-bang and Most Rapid Approach problems
• Lecture 16  Numerical optimal control (not covered in recent years)
• Lecture 17  Stochastic control (supplementary, not covered in class)



Numerical Dynamic Programming
Dreyfus, S. 2002. Richard Bellman on the Birth of Dynamic Programming. Operations Research 50(1):48-51.

• Lecture 7    Introduction to Numerical Dynamic Programming (DP)
• Lecture 8    A more formal introduction to Dynamic Programming (Lectures 7 & 8 will be covered in a single class period)
• Lecture 9    Markov processes and Burt & Allison 1963
• Lecture 10  CD and CC-DP Problems - the complications continuity
• Lecture 11  DP Acceleration methods
• Lecture 12  Empirical applications of dynamic programming

Computer Programming Tutorials

• Matlab Tutorial: Introduction to using Matlab's symbolic algebra library
• VB Tutorial: Programming using Visual basic for Applications with Microsoft Excel