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Dipartimento di Statistica e Metodi Quantitativi
Dottorato in Statistica e Matematica per la Finanza
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Optimization: theory and algorithms
Prof. Mustafa Pinar, Bilkent University, Ankara
An advanced PhD Course in six lectures: 20-21-22-23/1/2015, 26-27/1/2015,
from 14 to 17, DISMEQ Seminar Room, U7 Building, 4th floor, Via Bicocca degli
Arcimboldi, 8 - 20126 Milano.
Course Outline
- 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)
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
The course is targeted at PhD students and young researchers in Mathematics,
Statistics, Economics and Finance. Participation is free but for organizational
reasons we ask to register by sending an email to [email protected].
For further informations: Prof. Monica Bianchi ([email protected])
