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Optimization methods in economics

course

Aims of the course

Introduction to mathematical concepts and methods needed to pursue economic analysis, in particular, to optimization methods.

Course syllabus

1. Dynamic programming
2. Functions of several variables, continuity, limit, partial derivatives
3. Differential, Taylor's formula
4. Implicit functions, linearization, log-linearization
5. Gradient, extrema, convexity, quadratic forms
6. Constrained extrema, Lagrange method, envelope theorem, Kuhn-Tucker conditions
7. Vector spaces, linear mappings, eigenvectors, matrix decompositions
8. Differential equations, systems of linear differential equations, stability
9. Difference equations, systems of linear difference equations, stability
10. Probability, random variables, moments, limit theorems, random vectors

Course director(s)

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  • Office Hours
  • Wednesday at 11:00 in RZ-304
 
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