Bellman equation

From Cornell University Computational Optimization Open Textbook - Optimization Wiki
Jump to navigation Jump to search


The Bellman equation is an optimality condition used in dynamic programming and named for Richard Bellman, whose principle of optimality is needed to derive it.[1] By breaking up a larger dynamic programming problem into a sequence of subproblems, a Bellman equation can simplify and solve any multi-stage dynamic optimization problem.

  1. Bellman, R. (1952) "On the Theory of Dynamic Programming"