MIT动态最优化方法及其应用阅读材料 - 集合

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14.451 Dynamic Optimization Methods with ApplicationsAs taught in: Fall 2009Level:Graduate
Instructors:
Prof. Guido Lorenzoni

SES #

TOPICS

READINGS

1-7

Discrete time: deterministic models

Vector spaces

[SLP] chapter 3.

The principle of optimality

[SLP] chapter 4.1
[Acemoglu] sections 6.2 to 6.3.

Concavity and differentiability of the value function

[SLP] section 4.2.

Euler equations

[SLP] section 4.5

Deterministic dynamics

[SLP] chapter 6.

Models with constant returns to scale

[SLP] section 4.3.

Nonstationary models

[Acemoglu] section 6.7.

8-9

Discrete time: stochastic models

Stochastic dynamic programming

[SLP] sections 9.1 to 9.2.
[Acemoglu] section 16.2.

Stochastic Euler equations

[SLP] section 9.5.
[Acemoglu] section 16.3.

Stochastic dynamics

[SLP] section 9.6, chapters 11 and 12.

10-12

Continuous time

Calculus of variations

[Acemoglu] section 7.1.

The maximum principle

[Acemoglu] sections 7.2 to 7.3.

Discounted infinite-horizon optimal control

[Acemoglu] section 7.5.

Saddle-path stability

[Acemoglu] section 7.8.

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关键词：动态最优化 最优化方法 阅读材料 MIT 最优化 function 动态

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