Optimization Theory

• Text: A first course in Optimization Theory
• Author: Rangarajan K. Sundaram
• ISBN 978-0-521-49770-1
• Cambridge University Press

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Topics covered

1. Mathematical Preliminaries
   • Sequences and limits, lim sup and lim inf
   • Matrices
   • Functions
2. Optimization in Rⁿ
   • Parametric form
   • Examples
3. Existence of solutions
   • The Weierstrass Theorem
4. Unconstrained Optimization
   • First order conditions
   • Second order conditions
5. Equality Constraints
   • Lagrange multipliers
   • Second order conditions
   • A cookbook procedure
   • Consumer Theory
   • Producer Theory

Links

• Linear Programming page
• Calculus of Variations
• Optimal Control Theory

Exam Schedule

1. Exam 1, Week 3
2. Exam 2, Week 6
3. Exam 3, Week 9

Lecture Notes

Lecture notes folder