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Instructors: Prof. Dr. Olaf Posch
Event type:
Interactive class
Displayed in timetable as:
Dynamic Optimization
Hours per week:
3
Credits:
6,0
Language of instruction:
English
Min. | Max. participants:
- | 45
Comments/contents:
This course provides a toolbox for solving dynamic optimization problems in economic models. In particular, we review the mathematical tools required for courses in economics including calculus of variation, control theory, and dynamic programming. We then study models in continuous and discrete time. Throughout the course, the optimization problems are illustrated using various examples in economics. The course is designed to be accessible to anybody who has had a basic training in mathematical analysis of dynamic systems such as topics in difference and differential equations.
Dynamic Optimization:
- Basics in static optimization
- Calculus of variations
- Control theory
- Discrete-time optimization
Attending this course allows students to strengthen their profile with a strong focus on methods in economics. It is highly recommended to students considering writing a thesis within dynamic economic theory such as economic growth, resources economics, climate systems and business cycle theorys above and/or interested in further studies in economics.
Learning objectives:
After this course, the students are able to ...
- reflect on static optimization problems with equality and inequality constraints
- theorize on variational problems and control problems
- formulate and solve dynamic optimization problems in economics
- apply the maximum principle and the Euler equation
- apply control theory and dynamic programming solution techniques
- relate to concepts for finite and infinite horizon problems
Didactic concept:
- this course emphasizes economics not only to motivate a mathematical topic, but also to help acquire mathematical intuition
- focus on techniques particularly useful in economics and not necessarily on mathematical proofs
- the examples in this lecture cover a wide range of models in economics
- every section includes worked examples and problems for students to solve as exercises
Dynamic Optimization: Interactive Lecture (3 SWS)
This course will be offered in presence. Additionally, the lectures will be live-streamed (synchronous) via Zoom, but they are not recorded. Please also note that interactions via Zoom during the live sessions are barely possible due to the hybrid format. An office hour will be offered regularly (occasionally via Zoom) during the semester.
Literature:
- Sydsæter, Knut, Peter Hammond, Atle Seierstad and Arne Strøm, Further Mathematics for Economic Analysis (FMEA), Prentice Hall, 2nd edition, 2008
Additional examination information:
The exam will be digital (Take-home exam) and open-book.
Duration: 90 min
The examiner of your course will provide information about the hand out of examination tasks / assignments and their submission.
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