Courses Bachelor Display 2015-2016
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| Course title | Optimisation | |||||||||||||||||||||||||||||||||||||||
| Course code | EBC2105 | |||||||||||||||||||||||||||||||||||||||
| ECTS credits | 6,5 | |||||||||||||||||||||||||||||||||||||||
| Assessment | Whole/Half Grades | |||||||||||||||||||||||||||||||||||||||
| Period |
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| Level | Intermediate | |||||||||||||||||||||||||||||||||||||||
| Coordinator |
Stan van Hoesel For more information: s.vanhoesel@maastrichtuniversity.nl |
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| Language of instruction | English | |||||||||||||||||||||||||||||||||||||||
| Goals |
In this course the student will learn to solve both linear and non-linear constrained optimization problems.
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| Description |
Optimisation problems arise in all fields that econometricians encounter, such as operations research, game theory, statistics, micro- and macroeconomics and finance. The aim of this course is to show the methodology for solving constraint optimisation problems both for linear and non-linear problems. These methodologies are also known as Linear and Non-Linear Programming, respectively. The following topics and techniques will be treated: the standard simplex method, duality, sensitivity analysis, the primal-dual simplex method, the network simplex method, first and second order necessary and sufficient conditions, the Lagrangian-function, Kuhn-Tucker conditions and constraint qualification. Besides this, special attention is paid to the application of these methodologies in practical problems.
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| Literature |
Course book.
Vanderbei, R.J., Linear Programming: Foundations and Extensions, 2nd ed., Kluwer Academic Publishers, 2001 (ISBN 0792381416 or ISBN 0792373421). |
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| Prerequisites |
Basic algebra (for linear programming), and advanced calculus (for nonlinear programming).
Exchange students need to be aware that very specific pre-knowledge is required for this course. A solid background in mathematics is necessary. Students should be aware of the following concepts: Algebra: working knowledge of vector computing and matrices (including inverse matrices). Linear equations, and find the solutions of a set of equations etc. Function theory on the level of optimisation of functions of multiple variables under side conditions (Lagrange multipliers) An advanced level of English. |
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| Teaching methods (indicative; course manual is definitive) | PBL / Lecture / Assignment | |||||||||||||||||||||||||||||||||||||||
| Assessment methods (indicative; course manual is definitive) | Written Exam | |||||||||||||||||||||||||||||||||||||||
| Evaluation in previous academic year | For the complete evaluation of this course please click "here" | |||||||||||||||||||||||||||||||||||||||
| This course belongs to the following programmes / specialisations |
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