MA305 Half Unit
Optimisation in Function Spaces
This information is for the 2013/14 session.
Prof Adam Ostoja-Ostaszewski
This course is available on the BSc in Business Mathematics and Statistics, BSc in Mathematics and Economics, BSc in Mathematics with Economics and BSc in Statistics with Finance. This course is available as an outside option to students on other programmes where regulations permit. This course is available with permission to General Course students.
Students should have attended a course in Mathematical Methods, ideally Further Mathematical Methods (MA212).
This is a course in optimisation theory using the methods of the Calculus of Variations. No specific knowledge of functional analysis will be assumed and the emphasis will be on examples. This course develops a geometric approach to those optimisation problems which involve the choice of functions. Applications relevant to Economic Theory are studied. It introduces key methods of continuous time optimisation in a deterministic context, including the Calculus of Variations, Pontryagin's Principle and Bellman's Principle. Specific topics include: Introductory examples. Calculus of variations. Euler-Lagrange Equations. Necessary conditions. Maximum Principle. Transversality conditions. Linear time-invariant state equations. Controlability. Dynamical programming. Applications to Economics.
20 hours of lectures and 8 hours of classes in the LT. 3 hours of lectures and 2 hours of classes in the ST.
Written answers to set problems will be expected on a weekly basis.
A full set of lecture notes will be provided. D. G. Luenberger, Optimization by Vector Space Methods, Wiley, 1969.
Exam (100%, duration: 2 hours) in the main exam period.
Total students 2012/13: 13
Average class size 2012/13: 13
Value: Half Unit
- Problem solving
- Application of information skills
- Application of numeracy skills
- Specialist skills