| Optimal Control | ||
| Topic | Notes (pdf) | Supplementary material |
| 1. Introduction to dynamic optimization | Lecture 1 | |
| Optimal Control | ||
| 2. Differential equations | Lecture 2 | Supplementary notes on Eigen values Nice Khan Academy video on eigenvalues |
| 3. Introduction to optimal control | Lecture 3 | |
| 4. Transversality conditions | Lecture 4 | |
| 5. The intuition behind optimal control following Dorfman (1969) & the current value Hamiltonian | Lecture 5 | Dorfman (1969) The meaning of lambda (video 11 minutes) |
| 6. Lessons in the optimal use of natural resource from optimal control theory | Lecture 6 | Hotelling (1931) Hartwick (1990) |
| 13. Optimal control with constraints, bang-bang and most rapid approach path (MRAP) problems | Lecture 13 | |
| 14. Stochastic control | Lecture 14 | |
| 16. Numerical optimal control (not updated in a very long time) | Lecture 16 | |
| Numerical Dynamic Programming | ||
| 7. Introduction to numerical dynamic programming (DP) | Lecture 7 Video of example | 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 | Simple VB program and More complicated VB program |
| 9. Markov processes and Burt & Allison 1963 | Lecture 9 | Burt & Allison (1963) |
| 10. Examples of DP problems, Real Option Value and Quasi-Option Value | Lecture 10 | VB solution to the American Put Option Problem Video walking through the Mensink & Requate example |
| 11. Numerical Issues #1: The challenge of continuity | Lecture 11 | Simple Spreadsheet to implement Newton’s Method |
| 12. Numerical Issues #2: Acceleration methods | Lecture 12 | |
| 15. Dynamic programming in econometric estimation | Lecture 15 | Rust (1987) and Rothwell & Rust (1997) |
| 16. Approximate Dynamic Programming | Powell (2007) especially chapter 4 (overview of ADP) Hull (2015) (short paper focused on methodological issues) Sprinborn and Faig (2018) (application with clear statement of methods) | |
Computer Programming Tutorials | ||
| Introduction to using Matlab’s symbolic algebra library | Matlab Tutorial | |
| Programming using Visual Basic for Applications (VBA) with Microsoft Excel | VB Tutorial: |
Problem Sets
Problem Set #1
Problem Set #2
Problem Set #3
