Optimization in Finance and Energy module (MA52004)
About the module
Optimisation problems arise from modelling a wide variety of systems in science, technology, industry, business, economics as well as in many other fields. This module, aimed at Level 5 students, covers practical methods of optimisation that are supported by a growing body of mathematical theory. Students are expected to implement the methods and solve problems numerically. This module may optionally be taken in combination with other modules at this level by Level 5 students on the MMath in Mathematics or MSci in Mathematics and Physics degrees. If you have questions about this module or the possible combinations, please contact your Advisor of Studies.
Students taking this module must usually have achieved a pass mark in the module MA32005, or equivalent.
Examples of optimization problems. Mathematical background.
Line search and Descent methods. Newton′s method. Conjugate gradient method.
Simplex method. Slack and artificial variables. Simplex tableau.
Lagrange multipliers. Theory of constrained optimization.
Application in Finance and Energy
Application problems such as factory location problem, oil pipeline problem.
Delivery and Assessment
The module is delivered in the form of lectures and workshops/presentation classes and assessed via coursework (100%) consisting of homeworks, tests, presentations and project work.
This module is a Scottish Higher Education Level 5 or SCQF level 11 module and is rated as 15 SCOTCAT credits or 7.5 ECTS credits.