AGEC 637
Lectures in Dynamic Optimization
Optimal Control and Numerical Dynamic Programming

Richard T. Woodward,
Department of Agricultural Economics, Texas A&M University.

The following lecture notes are made available for students in AGEC 637 and other interested readers. An updated version of the notes is created each time the course is taught and will be available at least 48 hours before each 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. If they are not available in time, printed copies will be provided in class. 

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
Notes (pdf)
Supplementary material
1. Introduction to dynamic optimization
Lecture 1
Wiki 1
Introductory Video
2. Differential equations
Lecture 2
Wiki 2
Supplementary notes on Eigen values
3. Introduction to optimal control
Lecture 3
Wiki 3
Introductory Video
4. Transversality conditions
Lecture 4
Wiki 4
Introductory Video
5. Dorfman 1969 - an economic understanding of optimal control
Lecture 5
Wiki 5
6. Lessons in the optimal use of natural resource from optimal control theory
Lecture 6
Wiki 6
14. Optimal control with constraints, bang-bang and most rapid approach path (MRAP) problems
Lecture 14
Wiki 14
16. Numerical optimal control (not covered in recent years)
Lecture 16
Wiki 16
17. Stochastic control (supplementary)
Lecture 17
Wiki 17

Numerical Dynamic Programming
7. Introduction to numerical dynamic programming (DP)
Lecture 7
Wiki 7
Video solving a DP problem with a circle and arrow diagram

Dreyfus, S. 2002. Richard Bellman on the Birth of Dynamic Programming. Operations Research 50(1):48-51.
8. A more formal introduction to dynamic programming
Lecture 8
Wiki 8
9. Markov processes and Burt & Allison 1963
Lecture 9
Wiki 9
10. Examples of DP problems, Real Option Value and Quasi-Option Value
Lecture 10
Wiki 10
11. Numerical Issues #1: The challenge of continuity
Lecture 11
Wiki 11
12. Numerical Issues #2: Acceleration methods
Lecture 12
Wiki 12
13. Dynamic programming in econometric estimation
Lecture 13
Wiki 13

Computer Programming Tutorials

Introduction to using Matlab's symbolic algebra library
Matlab Tutorial
Wiki Matlab
Programming using Visual Basic for Applications (VBA) with Microsoft Excel
VB Tutorial:
Wiki VB