2015-2016

Tinbergen Institute

- Jan Brinkhuis and Vladimir Tikhomirov (2005). Optimization: Insights and Applications, Princeton University Press (ISBN-13:978-0-691-10287-0 or ISBN-10:0-691-10287-2)
- Lecture notes 2014-2015
- List of errata (regularly updated)

- Wed 2 September, 11:00 - 13:45
- Fri 11 September, 11:00 - 13:45
- Fri 18 September, 11:00 - 13:45
- Wed 23 September, 11:00 - 13:45
- Wed 30 September, 11:00 - 13:45
- Wed 7 October, 11:00 - 13:45
- Wed 14 October, 11:00 - 13:45

(please, look out for updates; )

1 |
Class: Most of Lecture notes Section 1.
Tutorial: Homework: Lecture notes exercises Section 1: 1, 2, 4, 8, 9; Textbook exercises D1.4, D1.5, D2.1, D3.2, D3.4 |

2 |
Class: Most of Lecture notes Section 2. Plan for the lecture includes: more details on Separation theorem, a little more on calculus for subdifferentials, more details on the proof of the KKT theorem (part 1), examples (numerical illustration) in less detail.
Tutorial: Lecture notes exercises Section 2: 6, 9 Homework: Lecture notes exercises Section 2: 1, 2, 3, 5, 8; Textbook exercises D4.2, D4.5, 1.6.6, 1.6.14, 1.6.33 |

3 |
Class: (Perhaps quick review of John's theorem, Section 2.4) Most of Section 3, emphasis on Euler-Lagrange and Euler equations; brief mentioning of Pontryagin's maximum principle (connection with Euler-Lagrange); discrete time problem with the inclusion of terminal condition $f(N,X_N)$ in Section 3.4, mentioning of the backward recursion of the $\hat{p}_k$ in Section 3.5.
Tutorial: See blackboard Homework: See blackboard |

4 |
Class: Most of Section 4, infinite horizon problems mainly next week.
Tutorial: See blackboard Homework: See blackboard |

5 |
Class: Remainder of Section 4 (Bellman equation for infinite horizon), first half of Section 5 (abstract theory).
Tutorial: See blackboard Homework: See blackboard |

6 |
Class: Second half of Section 5.
Tutorial: See blackboard Homework: See blackboard |

7 |
Class:
Tutorial: Homework: |

Master Stochastics and Financial Mathematics