Concept

Bellman equation

Résumé
A Bellman equation, named after Richard E. Bellman, is a necessary condition for optimality associated with the mathematical optimization method known as dynamic programming. It writes the "value" of a decision problem at a certain point in time in terms of the payoff from some initial choices and the "value" of the remaining decision problem that results from those initial choices. This breaks a dynamic optimization problem into a sequence of simpler subproblems, as Bellman's “principle of optimality" prescribes. The equation applies to algebraic structures with a total ordering; for algebraic structures with a partial ordering, the generic Bellman's equation can be used. The Bellman equation was first applied to engineering control theory and to other topics in applied mathematics, and subsequently became an important tool in economic theory; though the basic concepts of dynamic programming are prefigured in John von Neumann and Oskar Morgenstern's Theory of Games and Economic Beh
À propos de ce résultat
Cette page est générée automatiquement et peut contenir des informations qui ne sont pas correctes, complètes, à jour ou pertinentes par rapport à votre recherche. Il en va de même pour toutes les autres pages de ce site. Veillez à vérifier les informations auprès des sources officielles de l'EPFL.
Publications associées

Chargement

Personnes associées

Chargement

Unités associées

Chargement

Concepts associés

Chargement

Cours associés

Chargement

Séances de cours associées

Chargement