Cancelled Convex Optimization and Equilibrium Modeling

Course content

Equilibrium modeling has proved to be very effective in solving various problems in economics and transportation. Examples include finding traffic equilibria, spatial price equilibria, and Cournot-Nash equilibria. One important area of application involves energy markets, where equilibrium models may be used to monitor the abuse of market power and predict the effects of decarbonization policies.

 

This course starts with an introduction to convex optimization. Convex optimization problems arise in a broad number of fields and applications. After introducing the concepts of convex sets and convex functions, we are able to recognize certain optimization problems as being convex. We proceed to cover duality theory and optimality conditions for these problems. Finally, we discuss solution methods for unconstrained and constrained convex optimization problems.

 

The second part of the course focuses on equilibrium modeling. A short introduction to game theory allows to understand the notion of a Nash equilibrium. We furthermore consider complementarity problems and variational inequalities, with an emphasis on the relationship between these problems and convex optimization.

 

The content of the course is as follows:

 

A. Convex optimization:

  • A1. Convex sets.
  • A2. Convex functions.
  • A3. Convex optimization problems.
  • A4. Duality and optimality.

 

B. Equilibrium modeling:

  • B1. Nash equilibria.
  • B2. Complementarity problems.
  • B3. Variational inequalities.
Education

MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics
 

Learning outcome

Knowledge:

  • Properties of convex sets, convex functions, and convex optimization problems
  • Solution methods for convex optimization problems
  • Definitions of a Nash equilibrium, complementarity problem, and variational inequality

 

Skills:

  • Classify convex optimization problems
  • Recognize and formulate convex optimization and equilibrium problems
  • Implement and solve a given optimization or equilibrium problem using appropriate software
  • Understand and reproduce the proofs presented in the course

 

Competences:

  • Explain how to exploit duality theory and optimality conditions for convex optimization problems in the design of a solution method
  • Describe the differences and relationships between convex optimization problems, complementarity problems, and variational inequalities
  • Formulate, implement and solve a practical problem and justify the formulation and solution method

2 x 2 hours of lectures and 1 x 2 hours exercises/project work per week for 7 weeks.

Operations Research 1 (OR1) or similar is required.

Academic qualifications equivalent to a BSc degree is recommended.

Written
Individual

Individual written feedback will be given on the mandatory assignment.

ECTS
7,5 ECTS
Type of assessment
Oral examination, 30 minutes
Type of assessment details
Without preparation time
Exam registration requirements

Approval of the project report is a prerequisite for enrolling for examination.

Aid
Written aids allowed
Marking scale
7-point grading scale
Censorship form
No external censorship
Several internal examiners
Re-exam

Same as ordinary exam.

If the required project report was not approved before the ordinary exam it must be (re)submitted. It has to be approved no later than three weeks before the beginning of the re-exam week in order to participate in the re-exam.

Criteria for exam assessment

The student should convincingly and accurately demonstrate the knowledge, skills and competences described under Intended learning outcome.

Single subject courses (day)

  • Category
  • Hours
  • Lectures
  • 28
  • Preparation
  • 133
  • Theory exercises
  • 14
  • Project work
  • 30
  • Exam
  • 1
  • English
  • 206

Kursusinformation

Language
English
Course number
NMAK23003U
ECTS
7,5 ECTS
Programme level
Full Degree Master
Duration

1 block

Placement
Block 2
Schedulegroup
C
Capacity
No limit.
The number of seats may be reduced in the late registration period.
Studyboard
Study Board of Mathematics and Computer Science
Contracting department
  • Department of Mathematical Sciences
Contracting faculty
  • Faculty of Science
Course Coordinator
  • Nena Batenburg   (9-6766796a73677a776c457266796d33707a336970)
Saved on the 28-06-2023

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