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Quantitative Finance · Begrippenlijst

Wat is Dynamic programming, feedback control?

Ook bekend als: dynamic programming · feedback control

Definition 9.3 Quantitative Methods · Hoofdstuk 9 — Stochastic Control

Dynamic programming computes the value function backward in time with the one-step principle, Vt(x)=max⁡u{f(t,x,u)+E[Vt+1(Xt+1)∣Xt=x,u]}V_t(x) = \max_u\{f(t, x, u) + \E[V_{t+1}(X_{t+1}) \mid X_t = x, u]\}, from VT=gV_T = g. A feedback control is a control of the form ut=u∗(t,Xt)u_t = u^*(t, X_t), a function of the current state; dynamic programming produces one.

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