Bellman equation: Difference between revisions
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Authors: Greta Gasswint, Elizabeth Henning, and Thomas Lee (SYSEN 5800 Fall 2021) | |||
== Introduction == | |||
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.<ref>Bellman, R. (1952) "On the Theory of Dynamic Programming" https://www.ncbi.nlm.nih.gov/pmc/articles/PMC1063639/pdf/pnas01581-0064.pdf</ref> 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. | |||
Revision as of 15:05, 24 November 2021
Authors: Greta Gasswint, Elizabeth Henning, and Thomas Lee (SYSEN 5800 Fall 2021)
Introduction
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.
- ↑ Bellman, R. (1952) "On the Theory of Dynamic Programming" https://www.ncbi.nlm.nih.gov/pmc/articles/PMC1063639/pdf/pnas01581-0064.pdf