Methods of Optimization | Centre for Joint Academic Programmes

Level: Bachelor

Semestre: 2nd

ECTS: 5

Working Hours:

- Lectures: 72

- Seminars: 16

- Self-study: 132

- Total: 180

Language of Instruction: English (Russian)

Author of the Course: Serguei Pergamenchtchikov, Doctor of Science, Professor.

Lecturers:

- Serguei Pergamenchtchikov, Doctor of Science, Professor.

Objectives:

- The studying of the modern methods of dynamic programming in the discrete and continuous time;

- 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.

Learning Outcomes:

- 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.

Assessment Methods:

- The current control of mastering the discipline includes two written test.
- The final control – exam.