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.

Prerequisites

Students taking this module must usually have achieved a pass mark in the module MA32005, or equivalent.

Indicative Content

• Introduction

  Examples of optimization problems. Mathematical background.

• Unconstrained Optimization

  Line search and Descent methods. Newton′s method. Conjugate gradient method.

• Linear Programming

  Simplex method. Slack and artificial variables. Simplex tableau.

• Constrained Optimization

  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.

Credit Rating

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.