MATH6231 - Topics in Optimization Theory I - 2020/21

Announcement

• Teaching mode of the course will be the mixed-mode.
• The course will be online at the beginning.
• Zoom link: https://cuhk.zoom.us/j/98671228076

General Information

Lecturer

• Tan Xiaolu
  • Email:

Time and Venue

• Lecture: Monday, 14:30-17:15

Course Description

I. Static Optimisation under constraint

1. Kuhn-Tucker Theorem

2. Convex analyse and duality

3. Numerical algorithm

II. Dynamic optimisation

1. Finite horizon problem

2. Infinite horizon problem

3. Reinforcement learning

References

• Convex Analysis and Optimization by D.P. Bertsekas, A. Nedic and A. E. Ozdaglar
• Dynamic Programming and Optimal Control Volume I by D.P. Bertsekas

Lecture Notes

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