From Shortest Paths to Reinforcement Learning

Beschreibung

Dynamic programming (DP) has a relevant history as a powerful and flexible optimization principle, but has a bad reputation as a computationally impractical tool. This book fills a gap between the statement of DP principles and their actual software implementation. Using MATLAB throughout, this tutorial gently gets the reader acquainted with DP and its potential applications, offering the possibility of actual experimentation and hands-on experience. The book assumes basic familiarity with probability and optimization, and is suitable to both practitioners and graduate students in engineering, applied mathematics, management, finance and economics.
Dynamic programming (DP) has a relevant history as a powerful and flexible optimization principle, but has a bad reputation as a computationally impractical tool. This book fills a gap between the statement of DP principles and their actual software implementation. Using MATLAB throughout, this tutorial gently gets the reader acquainted with DP and its potential applications, offering the possibility of actual experimentation and hands-on experience. The book assumes basic familiarity with probability and optimization, and is suitable to both practitioners and graduate students in engineering, applied mathematics, management, finance and economics.
Covers both, classical numerical analysis approaches and more recent learning strategies based on Monte Carlo simulation Includes well-documented MATLAB code snapshots to illustrate algorithms and applications in detail Illustrate subtle modeling issues in detail Illustrates a wide set of applications Includes supplementary material: sn.pub/extras

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Paolo Brandimarte

Themen in »From Shortest Paths to Reinforcement Learning«

Dynamic programming Reinforcement learning Machine learning Stochastic optimization Dynamic optimization Numerical optimization methods Approximate dynamic programming Monte Carlo simulation Decision rules Optimal control Revenue management Option pricing Asset allocation Inventory management Resource budgeting

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