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Dynamic Programming (DP) is a recursive method for solving optimization problems by breaking them into simpler subproblems. It relies on Bellman's Principle of Optimality and involves formulating a Bellman equation for discrete-time systems. While effective for discrete dynamics and uncertainty, DP faces challenges due to the curse of dimensionality.

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2 views

DP_Report

Dynamic Programming (DP) is a recursive method for solving optimization problems by breaking them into simpler subproblems. It relies on Bellman's Principle of Optimality and involves formulating a Bellman equation for discrete-time systems. While effective for discrete dynamics and uncertainty, DP faces challenges due to the curse of dimensionality.

Uploaded by

vigneshwaran.k2024
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Dynamic Programming in Optimal Control

1. Introduction
Dynamic Programming (DP) is a method to solve optimization problems by breaking them into

simpler subproblems and solving recursively.

2. Bellman's Principle of Optimality


An optimal policy has the property that, regardless of the initial state, the remaining decisions must

also be optimal.

3. Mathematical Formulation
For a discrete-time system x_{k+1} = f(x, u), with cost J = sum L(x, u), the Bellman equation is:

V(x) = min [ L(x, u) + V_{k+1}(f(x, u)) ]

4. Example Problem
Minimize J = sum (x^2 + u^2) with x_{k+1} = x + u, x = 1. Backward recursion is used to compute the

value function and control inputs.

5. Simulation
Implement a discrete-time simulation where at each step the control minimizes the cost-to-go

function. Visualize the state trajectory and value function evolution.

6. Conclusion
DP is powerful for systems with discrete dynamics and uncertainty, but suffers from the curse of

dimensionality.

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