7,5 credits

PFG0039

Date:

2013-09-02 -- 2013-10-04

Language:

English

 

Prerequisites:

The participants should have some knowledge of calculus, linear and nonlinear

optimization before the course starts.

The course is intended for:
PhD students in management, economics, business administration, forest management,
engineering and all other sciences where dynamic and stochastic optimization problems are relevant and important.

Course structure:

All parts of the course focus on the general theme: “Optimization in dynamic and stochastic decision problems.” The course includes lectures on general theory and methodology and numerical solutions via computer programming. The course also includes a number of application examples, as illustrations of all of the theories and methods. Furthermore, during the course, all course participants develop and solve some applied dynamic optimization problems, that should be of relevance to different research projects. The analyses and results should be presented and discussed during seminars for all participants in the end of the course. Finally, a written examination takes place.

Objectives:

Economic dynamic and stochastic decision problems.

Deterministic dynamic optimization in discrete time with discrete state space.

Deterministic dynamic optimization in discrete time with continuous state space.

Deterministic dynamic optimization in continuous time.

Optimal solutions to deterministic dynamic decision problems.

Stochastic dynamic optimization in discrete time.

Stochastic dynamic optimization in continuous time.

Optimal solutions to stochastic dynamic decision problems.

Applications to decision problems in forest company management in forest production, forest logistics and forest industry mills. (It does not matter if the course participant mainly is interested in the forest sector or some other sector. The decision problems are very similar in most sectors and the solution methods are the same.)

 

Content:

Economic dynamic and stochastic decision problems.

Deterministic dynamic optimization in discrete time with discrete state space.

Deterministic dynamic optimization in discrete time with continuous state space.

Deterministic dynamic optimization in continuous time.

Optimal solutions to deterministic dynamic decision problems.

Stochastic dynamic optimization in discrete time.

Stochastic dynamic optimization in continuous time.

Optimal solutions to stochastic dynamic decision problems.

Applications to decision problems in forest company management in forest production, forest logistics and forest industry mills. (It does not matter if the course participant mainly is interested in the forest sector or some other sector. The decision problems are very similar in most sectors and the solution methods are the same.)

 

Examination:

Written exam and seminar presentations of problem solutions.

Seminar will take place the 3rd of October.

Written exam will take place the 4th of October

 

Contact for further information:

Peter Lohmander

 Link to schedule

Contact for application:

Questions concerning application is mailed to: Camilla Widmark

Apply before 2013-08-02.

 

Literature:

Relevant parts of:

Baumol, W., Economic Theory and Operations Analysis, 4 ed., 1976.
Blanchard, P., Devaney, R.L., Hall, G.H., Differential Equations, Thomson

Brooks/Cole, ISBN 0-495-01265-3, 2006

Sethi, S. P., Thompson, G.L., Optimal Control Theory, Applications to

Management Science and Economics, Kluwer Academic Publishers, 2 ed., 2000

Winston, W.L., Operations Research, Applications and Algorithms, Duxbury

Press, International Thomson Publishing, ISBN 0-534-20971-8, 2004
Winston, W.L., Introduction to Probability Models, Operations Research:

Volume Two, Duxbury, Thomson Brooks/Cole, ISBN 0-534-42339-0, 2004

(More applications will be included.)

Additional information:

NOTE: the course will be held if there are at least five (5) students (Master students or PhD-candidates).

Teaching will be intense for about a week. Individual work during about four weeks. The course ends with a seminar and a written exam.