Optimization in Finance and Energy module (MA52004)

Optimisation problems arise from modelling a wide variety of systems in science, technology, industry, business, economics, and many other fields. In this module, you will learn practical optimisation methods supported by a growing body of mathematical theory. You will implement the methods and numerically solve problems using MATLAB. You will also develop your skills in communicating results through project presentation and report writing, where you apply optimisation methods to solve application problems numerically.     

Topics include 

• Examples of optimisation problems. 
• Unconstrained optimisation - line search and descent methods. Newton's method. Conjugate gradient method.  
• Linear programming - simplex method. Slack and artificial variables. Simplex tableau.  
• Constrained optimisation - Lagrange multipliers. Theory of constrained optimisation.  
• Applications in the finance and energy sectors, such as factory location and oil pipeline problems.