Math 583EA
Optimization Under Uncertainty
Lisa Korf
Spring 2004, Monday and Wednesday, 2:30-3:50
Sequential optimization
problems involving random variables. Dynamic programming, stochastic
programming. Control of uncertain dynamic systems in finite, discrete
time. Risk, feedback, adaptivity. Problems with imperfect state
information. Applications such as to optimal stopping, inventory control,
resource management.
Prerequisites. MATH 308, MATH 324
and an introduction to basic concepts of probability, such as MATH 390 or
MATH 394, MATH 395.
Text.