Courses Bachelor Display 20192020
Course Description  To PDF  

Course title  Optimisation  
Course code  EBC2105  
ECTS credits  6,5  
Assessment  None  
Period 


Level  Intermediate  
Coordinator 
Stan van Hoesel For more information: s.vanhoesel@maastrichtuniversity.nl 

Language of instruction  English  
Goals 
In this course the student will learn to solve both linear and nonlinear constrained optimization problems.


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 nonlinear problems. These methodologies are also known as Linear and NonLinear Programming, respectively. The following topics and techniques will be treated: the standard simplex method, duality, sensitivity analysis, the primaldual simplex method, the network simplex method, first and second order necessary and sufficient conditions, the Lagrangianfunction, KuhnTucker conditions and constraint qualification. Besides this, special attention is paid to the application of these methodologies in practical problems.


Literature 
Course book.
Vanderbei, R.J., Linear Programming: Foundations and Extensions, 4th ed., Springer, 2014 (ISBN 978146147629, DOI 10.1007/9781461476306). 

Prerequisites 
Basic algebra (for linear programming), and advanced calculus (for nonlinear programming).
Exchange students need to be aware that very specific preknowledge 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. 

Teaching methods  PBL / Lecture  
Assessment methods  Attendance / Participation / 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 
