MATH6231 - Topics in Optimization Theory I - 2020/21

Course Year: 
2020/21
Term: 
2

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



Assessment Policy

Last updated: February 22, 2021 21:31:37