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課程名稱 |
動態規劃與應用
Dynamic Programming |
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開課學期 |
99-2 |
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授課對象 |
工學院 工業工程學研究所 |
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授課教師 |
吳政鴻 |
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課號 |
IE5038 |
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課程識別碼 |
546 U6080 |
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班次 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期二5,6,7(12:20~15:10) |
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上課地點 |
共308 |
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備註 |
總人數上限：30人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/992DP |
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課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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課程大綱
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為確保您我的權利,請尊重智慧財產權及不得非法影印
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課程概述 |
This course emphasizes on the use of stochastic
dynamic optimization methods in theory and practice. General knowledge of
probability theory and stochastic processes is assumed.
Applications considered include revenue management, queueing
systems and supply chain systems. The topics
discussed also have wide applications to financial, economic, and engineering
systems. |
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課程目標 |
-Solve problems in which sequential decision making is an issue.
-Understand the Principle of Optimality.
-Know how to include randomness in sequential decision-making processes.
-Construct and Solve infinite horizon Markov decision problems.
-Show the existence of optimal policy structure for a wide variety of dynamic optimization problems
-Introduction to Stochastic Programming |
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課程要求 |
Background in college level mathematical analysis, probability theory, and stochastic processes is required.
In addition, homework and term project will include developing computer codes for algorithms discussed in class. These computer codes will be applied to solve stochastic dynamic decision problems in practice. |
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預期每週課後學習時數 |
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Office Hours |
每週二 10:00~12:00 |
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指定閱讀 |
There will be no required textbook for this course; required reading materials will be distributed either in class or through the course web page.
There are many good textbooks on dynamic programming, however, most
of them are much more extensive than what we could cover in this
semester. These textbooks differ slightly in their emphasis and
presentation; I am providing references to some of them for you to
use as reference materials. |
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參考書目 |
- E. Denardo, Dynamic Programming: Models and Applications, 1982
- M. L. Puterman, Markov Decision Processes, Wiley, 1994
- L. I. Sennott, Stochastic Dynamic Programming and the Control of
Queueing Systems, Wiley, 1999
- J. R. Birge and F. Louveaux, Introduction to Stochastic
Programming, Springer, 1997
- S. G. Nash and A. Sofer, Linear and Nonlinear Programming,
McGraw-Hill, 1996
- D. P. Bertsekas, Dynamic Programming and Optimal Control, 2nd
edition, Athena Scientific, 2001
- V. G. Kulkarni, Modeling and Analysis of Stochastic Systems,
Chapman & Hall,1995
- S. M. Ross, Introduction to Probability Models, 8th edition,
Academic Press, 2002 S. M. Ross, Stochastic Processes, 2nd edition,
Wiley, 1995
- S. Resnick, Adventure in Stochastic Processes, 1st edition,
Birkhauser, 1992
- S. Karlin and H. E. Taylor, A First Course in Stochastic
Processes, 2nd edition, Academic Presses, 1975 |
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評量方式
(僅供參考) |
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No. |
項目 |
百分比 |
說明 |
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1. |
1st Midterm Exam |
30% |
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2. |
2nd Midterm Exam |
30% |
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3. |
Quizzes and Homework |
20% |
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4. |
Term project, in-class discussion and reports |
20% |
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