OPIM-7400 (3) Stochastic Dynamic Programming with Applications

Covers the basic models and solution techniques for stochastic dynamic programs with finite or infinite number of stages. Application domains include, among other, revenue management and pricing, manufacturing, supply chains, service systems, and economics. Approximate solution techniques for problems involving large state/decision spaces and/or complex dynamics over time will also be discussed. Recommended prereq., an introductory course in optimization and probability. Requisites: Restricted to graduate students only.