Course detail
Optimization Methods II
FSI-VPP-AAcad. year: 2025/2026
The course deals with the following topics: Dynamic programming and optimal control of stochastic processes. Bellman optimality principle as a tool for optimization of multistage processes with a general nonlinear criterion function. Optimum decision policy. Computational aspects of dynamic programming in discrete time. Hidden Markov models and the Viterbi algorithm. Algorithms for shortest paths in graphs. Multicriteria control problems. Deterministic optimal control in continuous time, Hamilton-Jacobi-Bellman equation, Pontryagin maximum principle. LQR and Kalman filter. Process scheduling and planning. Problems with infinitely many stages. Approximate dynamic programming. Heuristic methods for complex problems. Applications of the methods in solving practical problems.
Language of instruction
Number of ECTS credits
Mode of study
Guarantor
Offered to foreign students
Entry knowledge
Rules for evaluation and completion of the course
Attendance at seminars is required. An absence can be compensated for via solving additional problems.
Aims
Knowledge: Students will know basic principles and algorithms of methods applicable to the optimization of the deterministic and stochastic, discrete and continuous. They will be made familiar with basic principles and algorithms of methods that are appropriate to creation of decision-support systems for project management, as the tool for the identification, selection and realization of projects. Skills: Students will be able to apply the above methods to the solution of the practical problems from economic decision, problems of increasing the reliability of technological devices, problems of automation control of technological processes and problems of project management, by using contemporary tools of computer science.
Study aids
Prerequisites and corequisites
Basic literature
Bertsekas, D. P.: Dynamic Programming and Optimal Control: Vol. I. Athena Scientific, Nashua. 2017. (EN)
Brucker, P.: Scheduling Algorithms. Springer-Verlag, Berlin, 2010. (EN)
Conforti, M., Cornuéjols, G., Zambelli, G.: Integer Programming. Springer, 2014. (EN)
Martí, R. Pardalos, P.M., Resende, M.G.C.: Handbook of Heuristics. Springer Cham, 2018. (EN)
Puterman, M. L.: Markov Decision Processes: Discrete Stochastic Dynamic Programming. Wiley-Interscience, New Jersey, 2005. (EN)
Recommended reading
Bertsekas, D. P.: Dynamic Programming and Optimal Control: Vol. II: Approximate Dynamic Programming. Athena Scientific, Nashua. 2012. (EN)
Boyd, S; Vandenberghe, L.: Convex Optimization. Cambridge University Press, 2004. (EN)
Kerzner, H.: Project Management: A Systems Approach to Planning, Scheduling, and Controlling. Wiley, New Jersey, 2009. (EN)
Pinedo, M. L.: Scheduling: Theory, Algorithms, and Systems. Springer-Verlag, Cham, 2016. (EN)
Winston W.L.: Operations Research. Applications and Algorithms. Thomson - Brooks/Cole, Belmont 2004. (EN)
Classification of course in study plans
Type of course unit
Lecture
Teacher / Lecturer
Syllabus
1. Basics of mathematical processes theory. Bellman optimality principle and dynamic programming.
2. Minimax (robust) formulation. Reformulations and state augmentation.
3. Deterministic finite-state problems. Forward DP algorithm.
4. Hidden Markov models and the Viterbi algorithm.
5. Algorithms for shortest paths in a graph.
6. Multicriteria and constrained optimal control problems.
7. LQR a Kalman filter.
8. Problems with an infinite number of stages.
9. Deterministic continuous-time optimal control, Hamilton-Jacobi-Bellman equation, Pontryagin maximum principle.
10. Process scheduling.
11. Approximate dynamic programming.
12. Rolling horizon and Model predictive control.
13. Heuristics for complex problems - genetic algorithms and ant colony optimization.
Computer-assisted exercise
Teacher / Lecturer
Syllabus
The exercise follows the topics discussed in the lecture. The main focus is on the software implementation of the studied methods.