Dynamic Programming & Optimal Control, Vol. I by Dimitri Bertsekas

By Dimitri Bertsekas

The 1st of the 2 volumes of the top and latest textbook at the far-ranging algorithmic methododogy of Dynamic Programming, which might be used for optimum keep watch over, Markovian selection difficulties, making plans and sequential determination making below uncertainty, and discrete/combinatorial optimization. The therapy makes a speciality of uncomplicated unifying issues, and conceptual foundations. It illustrates the flexibility, strength, and generality of the strategy with many examples and functions from engineering, operations learn, and different fields. It additionally addresses widely the sensible program of the method, very likely by using approximations, and gives an creation to the far-reaching method of Neuro-Dynamic Programming. the 1st quantity is orientated in the direction of modeling, conceptualization, and finite-horizon difficulties, but in addition features a noticeable creation to limitless horizon difficulties that's compatible for school room use. the second one quantity is orientated in the direction of mathematical research and computation, and treats limitless horizon difficulties widely. The textual content comprises many illustrations, worked-out examples, and routines.

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Example text

4) is convex. We say h is proper if dom h is nonempty and h never takes t he valu e - 00 : if we wish t o demonstra te the existence of subgradients for v using t he results in t he previous section t hen we need to excl ude -00 . 6 If th e f un ction h : E -+ [-00, +00] is convex and some point fj in core (dom h) satisfies h (fj) > - 00, th en h never tak es th e value -00 . Proof. Suppose som e point y in E satisfies h(y) = - 00. Since fj lies in core (dom h) , there is a real t > 0 with fj + t(fj - y) in dom (h) , and hence a real r with (fj + t( fj - y ), r) in epi (h) .

Prove the function if x E R+. otherwise is convex. 19. (Domain of subdifferential) If the fun ction f: R 2 ~ (00, +00] is defin ed by f( Xl , X 2 ) -- {max{1 +00 prove that JXl,IX 21} if Xl :::: 0 otherwise, f is convex but that dom f)f is not convex. 20. * (Monotonicity of gradients) Suppose that the set 5 c R " is op en a nd convex and that the fun ction f : 5 ~ R is differ entiabl e. Prove f is convex if and only if (\1 f( x) - \1 fey) , X - y ) :::: 0 for all x , y E 5, a nd f is st rict ly convex if and only if the ab ove inequ ality holds st rict ly whenever X #- y.

2, each Pk is every where finite and sublinear. 7 we know linpk => linpk - I + span {ek} for k = 1,2, . . ,n, so Pn is linear. Thus ther e is an eleme nt 4> of E sa ti sfyi ng (4), ,) = PnO. 7 implies Pn :::; Pn-I :::; . . 6, any point x in E sa t isfies Pn( x - x ) :::; Po(x - x ) = f'( x ; x - x ) :::; f( x) - f( x) . Thus 4> is a subgradient. 7 we see Pn(d) :::; Po(d) = po( ed = -p~ (e l ; - el) = f'( x ;0) . = -PI (-ed = - PI (-d) :::; -Pn( -d) = Pn(d) , wh enc e Pn(d) = Po(d) = f'( x ;d).

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