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 | |||
| Topic | Notes (pdf) |
Wiki |
Supplementary material |
| 1. Introduction to dynamic optimization | Introductory Video | ||
| 2. Differential equations | Supplementary notes on Eigen values | ||
| 3. Introduction to optimal control | Introductory Video | ||
| 4. Transversality conditions | Introductory Video | ||
| 5. Dorfman 1969 - an economic understanding of optimal control | |||
| 6. Lessons in the optimal use of natural resource from optimal control theory | |||
| 14. Optimal control with constraints, bang-bang and most rapid approach path (MRAP) problems | |||
| 16. Numerical optimal control (not covered in recent years) | |||
| 17. Stochastic control (supplementary) | |||
Numerical Dynamic Programming |
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| 7. Introduction to numerical dynamic programming (DP) | 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. |
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| 8. A more formal introduction to dynamic programming | |||
| 9. Markov processes and Burt & Allison 1963 | |||
| 10. Examples of DP problems, Real Option Value and Quasi-Option Value | |||
| 11. Numerical Issues #1: The challenge of continuity | |||
| 12. Numerical Issues #2: Acceleration methods | |||
| 13. Dynamic programming in econometric estimation | |||
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| Introduction to using Matlab's symbolic algebra library | |||
| Programming using Visual Basic for Applications (VBA) with Microsoft Excel |