SYS 7052
Sequential Decision Processes
Course Description
Topics include stochastic sequential decision models and their applications; stochastic control theory; dynamic programming; finite horizon, infinite horizon models; discounted, undiscounted, and average cost models; Markov decision processes, including stochastic shortest path problems; problems with imperfect state information; stochastic games; computational aspects and suboptimal control, including neuro-dynamic programming; examples: inventory control, maintenance, portfolio selection, optimal stopping, water resource management, and sensor management.