Optimal value function of the bellman equation

Answered

Mofouet Ngomsieu

May 31, 2023 15:18

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I am new on GUROBI, and I wish to know how I can use it to find the optimal value function which is the solution of Bellman equation ?

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  Jaromił Najman

  • Gurobi Staff

  June 01, 2023 07:49

  The Bellman equation describes a dynamic decision problem in the optimal control theory. It cannot be directly translated into a mathematical optimization model unless you define it only for a specific state, e.g., steady state.

  To get a better understanding of what kind of problems can be solver with Gurobi, I recommend having a look at our Linear Programming and Mixed-Integer Programming tutorials. Then, to start writing your own mathematical optimization models, you might want to have a look at our Python webinars and our Python examples and customer case studies.

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