Optimization Theory

2023/2024

Academic Year

ENG

Instruction in English

4

ECTS credits

Delivered at:

International College of Economics and Finance

Course type:

Elective course

When:

3 year, 3, 4 module

Instructor

Slabolitskiy, Ilya S.

Course Syllabus

Abstract

This course covers two main classes of optimization theory: statistic optimization and dynamic optimization. The part of static optimization covers such topics as unconstraint optimization and constraint optimization. The part of dynamic optimization covers such topics as calculus of variation, optimal control and dynamic programming. Despite the name of the course, it contains the practical part with applications in R language.

Learning Objectives

• To learn how various optimization problems can be solved

Expected Learning Outcomes

• a student can solve an unconstrained optimization problem
• a student can solve a constrained optimization problem
• a student can solve a calculus of variation problem
• a student can solve an optimal control problem
• a student can solve a dynamic programming problem

Assessment Elements

• home_assignments
• control work
• final exam

Interim Assessment

• 2023/2024 4th module
  0.2 * control work + 0.6 * final exam + 0.2 * home_assignments

Bibliography

Recommended Core Bibliography

• A first course in optimization theory, Sundaram, R. K., 2011

Authors

• KANTOROVICH GRIGORIY GELMUTOVICH