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Facts
Duration: 1 semester
Period: Spring Semester
Credits: 5 ECTS
Contact Hours: 64
Self-study: 116
Hours: 180
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Main Objectives
1. The studying of the modern methods of dynamic programming in the discrete and continuous time.
2. Application of the analytical methods to the important optimization problem such as
- optimal consumption and investment in discrete time;
- optimal consumption and discrete time;
- optimal consumption in continuous time;
- Bellman equation in discrete time;
- Hamilton-Jacobi-Bellman equation;
Learning Outcomes
After this course the students have:
To know: the basic principles of modern dynamical programming
To be able: to write and to study the Bellman equations and theBellman-Hamilton-Jacoby equations.
To have: the skills to the construction of optimal solution and strategies for main optimization problems
Professor
Serguei Pergamenchtchikov, Doctor of Science
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Course unit code |
Б.2.4 |
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Course unit title |
Basic course |
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Name(s), surname(s) and title of lecturer(s) |
Serguei Pergamenchtchikov, Doctor of Science, Professor |
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Semester |
2 |
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ECTS credits |
5 |
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Working hours |
Contact hours |
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lectures |
32 |
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seminars |
32 |
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Self-study |
116 |
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Total |
180 |
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Work placement |
Laboratory works in Computer class |
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Prerequisites |
To study the course one needs "Mathematical Analysis", “Differential Equations”, "Partial Differential equations", "Functional Analysis", "Theory of Probability and Mathematical Statistics" and "Stochastic modeling". |
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Language of instruction |
English (Russian) |
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Objectives of the course |
Learning outcomes |
A student’s assessments methods |
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1.1. The studying of the modern methods of dynamic programming in the discrete and continuous time. 1.2. Application of the analytical methods to the important optimization problem such as - optimal consumption in discrete time; - optimal consumption and investment in discrete time;
- optimal consumption in continuous time;
- Bellman equation in discrete time; - Hamilton-Jacobi-Bellman equation; |
After this course the students have: To know: the basic principles of modern dynamical programming. To be able: to write and to study the Bellman equations and the Bellman-Hamilton-Jacoby equations. To have: the skills to the construction of optimal solution and strategies for main optimization problems |
The current control of mastering the discipline includes two written test. The final control – exam. |
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Teaching methods |
Lectures, Labs |
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List of Topics |
Topic title |
Contact hours |
Assignments and independent study hours |
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Optimal consumption in discrete time |
8 |
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Optimal consumption and investment in discrete time |
8 |
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Optimal consumption in continuous time |
8 |
Written test 1 |
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Hamilton functions |
6 |
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Optimal consumption and investment in the continuous time |
12 |
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Stochastic differential equations |
10 |
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Hamilton-Jacobi-Bellmannequations |
12 |
Written test 2 |
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64 |
Exam |
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Assessment requirements |
In during the semester 40 points |
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Assessment criteria |
Each test 20 points |
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The composition of final accumulative mark |
Exam 60 points. Examination ticket consists of two theoretical questions (10x2=20) and two exercises (20x2=40). |
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Author of the course |
Serguei Pergamenchtchikov |
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