Approximate Dynamic Programming
First seminar: 19.10.2018
- The seminar material will be distributed amongst the participants on 26.10.2018.
Introduction to approximate dynamic programming with focus on stochastic problems and financial mathematics: the dynamic programming principle, stochastic approximation, value function approximation, policy search.
This applied seminar covers numerical methods in stochastic optimization and complements perfectly the theoretical course Convex Stochastic Optimization.
Participating students will each give a talk (or talks) on selected topics from the seminar book. The talks are approximately 90 minutes.
- W.B. Powell, Approximate Dynamic Programming: Solving the Curses of Dimensionality (Wiley Series in Probability and Statistics, 2. Ediition), 2011.
Target Participants: Bachelor students of Business Mathematics and master students of Financial and Insurance mathematics.
The seminar can be recognized as "Themen der Wirtschaftsmathematik und verwandter Gebiete I (WP9)" (3 ECTS) for bachelor students, and as "Fortgeschrittene Themen aus der Finanzmathematik B (WP61)" (3 ECTS) for master students.