Dear Colleagues,

on 15-16-17-18-19-22 January 2018 from 14:00 to 17:00 and on 23 January 2018 from 10:00 to 13:00 (Aula 18, Department of Business Studies-Roma Tre University, Via Silvio D'Amico, 77 -00145, Roma ), Prof. Mustafa Pinar of Bilkent University in Ankara will hold an intensive course on "Optimization in Economics and Finance".

The attendance of the course is free, but for organizational reasons it is necessary to register by sending an email to francesco.cesarone@uniroma3.it with the following subjects: 

Name Surname - course on Optimization.

PROGRAM

Optimization: theory and algorithms

- Static optimization

- Equality and inequality constraints. Lagrange multipliers, KKT conditions

- The role of convexity and its generalizations in optimization

- Lagrangian duality

- Applications in Economics and Finance

- Univariate uncostrained optimization

- Multivariate unconstrained optimization (gradient-based methods, Newton's method and its variants)

- Constrained optimization (penalty and barrier methods, augmented lagrangian method, sequential quadratic programming)

- Optimization Software

References

- Optimization: Insights and Applications, J. Brinkhuis and V. Tikhomirov 

- Convex Optimization, S. Boyd and L. Vandenberghe

- Convex Analysis and Optimization, Lecture Notes by A. Nemirovski

We look forward to meeting you in Roma Tre!

 

Best regards,

Francesco Cesarone