Methods of Optimization

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.