Schedule:
Date | Topic | Chapter | Presenter | Exercises | ||
1 | Jan 10 | Discrete time control dynamic programming Bellman equation |
Bertsekas 2-5, 13-14, 18, 21-32 (2nd ed.) Bertsekas 2-5, 10-12, 16-27, 30-32 (1nd ed.) Kappen ICML tutorial 1.2 slides up to 34 |
Bertsekas 1.2
extra exercise 1, 2a,b | ||
2 | Jan 11 |
Continuous time control Hamilton-Jacobi-Bellman Equation Pontryagin Minimum Principle Stochastic differential equations Stochastic optimal control LQ examples, Portfolio management |
Kappen ICML tutorial 1.3,1.4 slides up to 59 |
extra exercise 2a,b |
||
3 | Jan 12 |
Path integral control theory |
Kappen ICML tutorial 1.5, 1.6, 1.7 slides up to 93 | extra exercise 2c, 3 | ||
4 | Jan 12 | Path integral control theory MC Sampling solution Numerical examples (particle in a box, N joint arm, Robot learning) |
Kappen ICML tutorial 1.7 slides up to 127 |
extra exercise 4,5
Matlab code for n joint problem Here is a directory of matlab files, which allows you to run and inspect the variational approximation for the n joint stochastic control problem as discussed in the tutorial text section 1.6.7. Type tar xvf njoints.tar to unpack the directory and simply run file1.m. In file1.m you can select demo1 (3 joint arm) or demo2 (10 joint arm). You can also try larger n but be sure to adjust eta for the smoothing of the variational fixed point equations. You can compare the results with exact cmputation (only recommendable for 2 joints) by setting METHOD='exact'. There is also an implementation of importance sampling (does not work very well) and Metropolis Hastings sampling (works nice, but not as stable as the variational approximation). |