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Thread Subject:
dynamic programming tool ?

Subject: dynamic programming tool ?

From: Levi

Date: 19 Apr, 2004 10:56:23

Message: 1 of 8

Hello!

Is there any dynamic programming tool implented in the Matlab
Optimization toolbox? I have not seen any in the version 2.3!

Thank you!

Levi

Subject: dynamic programming tool ?

From: Tristram Scott

Date: 21 Apr, 2004 12:33:36

Message: 2 of 8

Levi wrote:
>
> Hello!
>
> Is there any dynamic programming tool implented in the Matlab
> Optimization toolbox? I have not seen any in the version 2.3!
>
> Thank you!
>
> Levi

You can find examples of dynamic programming within some of the MATLAB
toolboxes, but you are not likely to find a generic DP tool. To quote
from Richard Bellman:

" As a result of a detailed study of dozens of variational problems of
the
 foregoing type,and filling hundreds of pages with equations and
 calculations, it became quite clear that there would never be any
 elegant,uniform way of solving problems of this genre in analytic
 terms. Each individual problem was an exercise in ingenuity,much like
 plane geometry. Change one small feature,and the structure of the
solution
 was strongly altered. There was no stability! "

http://fens.sabanciuniv.edu/msie/operations_research_50_years/anniversary/or50/1526-5463-2002-50-01-0048.pdf

The beauty of DP is the simplicity with which a recursive solution can
be constructed. The catch is that you always need to think about the
problem formulation first, and usually need to write custom built code.
But seldom have I needed more than a couple of dozen lines of MATLAB to
solve any DP I have encountered.

If you want to give details of your DP application, perhaps someone can
point you at some existing code. I have a stack of DP variants for
energy sector work, looking at storage optimisation, operation of power
plants etc. I'd be happy to sell you some of those:

http://www.quantmodels.co.uk/

I would also be happy to write some DP code for you.

Alternatively, look in the financial derivatives toolbox at the stock
pricing using trees. Those are variations on DP.


--
Dr Tristram J. Scott
Energy Consultant

Subject: dynamic programming tool ?

From: Levi

Date: 21 Apr, 2004 08:17:43

Message: 3 of 8

Now I see!

I need it for batch process optimization in chemical industry, but
now I see why is allways related to the problem.

Thank you for the reply.
Levi

Subject: dynamic programming tool ?

From: Tristram Scott

Date: 21 Apr, 2004 15:43:59

Message: 4 of 8

Levi wrote:
>
> Now I see!
>
> I need it for batch process optimization in chemical industry, but
> now I see why is allways related to the problem.
>
> Thank you for the reply.
> Levi

Not quite the same as the storage optimisation I like to do. Still, a
fairly common application of DP, and you should be able to dig up some
useful papers on the topic.

If you want a hand putting it into a MATLAB framework, drop me a line.
--
Dr Tristram J. Scott
Energy Consultant

Subject: dynamic programming tool ?

From: Levi

Date: 21 Apr, 2004 10:54:07

Message: 5 of 8

OK! thanks!

I found some method by Luus, (apparently easy to implement); at this
point I dont see the cronologycal order of the development and what
brings new Luus compared to Bellman. Now I read his book, Adaptive
Control Processes, 1959 :).

Subject: dynamic programming tool ?

From: Julio

Date: 30 Apr, 2004 11:06:18

Message: 6 of 8

Levi wrote:
>
>
> Hello!
>
> Is there any dynamic programming tool implented in the Matlab
> Optimization toolbox? I have not seen any in the version 2.3!
>
> Thank you!
>
> Levi

Levi,
check this book from Bryson:

"Dynamic Optimization"
by Arthur E. Bryson
Publisher: Prentice Hall; 1st edition (November 13, 1998)
ISBN: 0201361876

 <http://www.amazon.com/exec/obidos/tg/detail/-/0201361876/102-1283993-2305732?v=glance#product-details>

"Book Info
Covers *dynamic programming*, relating it to the calculus of
variations 7 optimal control, & neighboring optimum control
(differential dynamic programming), a practical method for nonlinear
feedback control. CD-ROM included"

The CD-ROM comes with Matlab implementations
of most of the methods discussed in the
book.

I have it. I like it.
Best,

Julio.

Subject: dynamic programming tool ?

From: Marcus M. Edvall

Date: 30 Apr, 2004 15:27:10

Message: 7 of 8

Dear Levi,

Sounds like you need a tool like TOMLAB /CPLEX that handles integer
variables.

If it's just one batch and no scheduling involved, TOMLAB /DIDO is
the item to look at.

Best wishes, Marcus
Tomlab Optimization Inc.
 <http://tomlab.biz>

Levi wrote:
>
>
> Now I see!
>
> I need it for batch process optimization in chemical industry, but
> now I see why is allways related to the problem.
>
> Thank you for the reply.
> Levi

Subject: dynamic programming tool ?

From: Tristram Scott

Date: 4 May, 2004 09:43:55

Message: 8 of 8

Levi wrote:
>
> OK! thanks!
>
> I found some method by Luus, (apparently easy to implement); at this
> point I dont see the cronologycal order of the development and what
> brings new Luus compared to Bellman. Now I read his book, Adaptive
> Control Processes, 1959 :).

Bellman is good, and not too hard to read. As for easy to implement,
most DP is easy to implement, once you have decided how to forumlate the
problem as a DP. Wrok out the state variable(s), define the state
transformation equation, and pick an ending condition. After that it
gets easy.

--
Dr Tristram J. Scott
Energy Consultant

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