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Mathematical Optimization: Recursive Bellman Equation

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Arvin Hipolito
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19 views

Mathematical Optimization: Recursive Bellman Equation

Uploaded by

Arvin Hipolito
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Mathematical optimization[edit]

In terms of mathematical optimization, dynamic programming usually refers to simplifying a decision


by breaking it down into a sequence of decision steps over time. This is done by defining a
sequence of value functions V1, V2, ..., Vn taking y as an argument representing the state of the
system at times i from 1 to n. The definition of Vn(y) is the value obtained in state y at the last time n.
The values Vi at earlier times i = n −1, n − 2, ..., 2, 1 can be found by working backwards, using
a recursive relationship called the Bellman equation. For i = 2, ..., n, Vi−1 at any state y is calculated
from Vi by maximizing a simple function (usually the sum) of the gain from a decision at time i − 1
and the function Vi at the new state of the system if this decision is made. Since Vi has already been
calculated for the needed states, the above operation yields Vi−1 for those states. Finally, V1 at the
initial state of the system is the value of the optimal solution. The optimal values of the decision
variables can be recovered, one by one, by tracking back the calculations already performed.

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