42111 Static and Dynamic Optimization
|Statisk og dynamisk optimering|
|Taught under open university|
Scope and form:
Lectures and project work
Duration of Course:
Type of assessment:
Not applicable together with:
General course objectives:
To give a well-founded knowledge, both theoretically and practically, of static and dynamic optimization models for data-based decision making. The students will be able to formulate and solve operations research and technical-economic models, and to appreciate the interplay between optimization models and the real-life problems describbed by these.
|A student who has met the objectives of the course will be able to:|
- Analyze a given problem in order to formulate an optimization model.
- Formulate and analyze models as these are met in static and dynamic optimization.
- Describe and explain the assumptions underlying models and computations.
- Analyze an optimization problem in order to identify an a.ppropriate solution method
- Understand and - using software - solve systems of equations for given optimization problems.
- Interpret the solutions from a given optimization model.
- Describe and explain the mathematical background for the applied solution methods.
- Perform sensitivity analysis as part of the evalutaiton of what-if scenarios in decision making.
- Make use of the possibilities for sensitivity analysis in standard optimization software.
Static optimization: Linear programming and duality, Convexity and optimality, Karush-Kuhn-Tucker conditions, Lagrangian duality, Solution methods. Examples of economic and technical applications: production planning, portfolio planning. Dynamic optimization: Control theory, Pontriagin's maximum principle, dynamic programming, Bellman's optimality principle. Examples of economic and technical applications: pipe line problem, production planning, economic models.
Course notes and slides.
Hillier & Lieberman: Intro. to OR, ch. Nonlinear Programming (in 9th and 8th Ed., ch. 12)
|, 322, 126, (+45) 4525 3356,
, 426, 56, (+45) 4525 4541,
, 426, 052, (+45) 4525 3084,
|42 DTU Management Engineering|
|02 Department of Informatics and Mathematical Modeling|
Registration Sign up:
|optimization, non-linear programming, optimal control|
April 23, 2012|
See course in DTU Course base