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Optimization Methods (MFE) Review Session: Elena Perazzi

This document summarizes the lectures of an optimization methods review session taught by Elena Perazzi at EPFL in Fall 2019. The lectures covered topics including unconstrained optimization methods like Newton's method; optimization with equality and inequality constraints using techniques like Lagrange multipliers and Kuhn-Tucker conditions; and dynamic optimization problems solved using techniques like dynamic programming. The review covered both theoretical concepts and solution algorithms for various optimization problems.

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108 views6 pages

Optimization Methods (MFE) Review Session: Elena Perazzi

This document summarizes the lectures of an optimization methods review session taught by Elena Perazzi at EPFL in Fall 2019. The lectures covered topics including unconstrained optimization methods like Newton's method; optimization with equality and inequality constraints using techniques like Lagrange multipliers and Kuhn-Tucker conditions; and dynamic optimization problems solved using techniques like dynamic programming. The review covered both theoretical concepts and solution algorithms for various optimization problems.

Uploaded by

ddd huang
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Optimization methods (MFE)

Review session

Elena Perazzi

EPFL

Fall 2019

Elena Perazzi (EPFL) Optimization methods (MFE) Review session Fall 2019 1/6
Lecture 1 – Unconstrained optimization
Taylor theorem (1-dim and n-dim)
I Concept of gradient and hessian
Unconstrained optimization:
I First-order necessary conditions
I Sufficient sufficient conditions
I 1-dimensional and n-dimensional case
Newton method for root finding (1-dim and n-dim)
Newton method for min finding (1-dim and n-dim)
Speed of convergence of a sequence
Secant method
I Quasi-Newton method implements n-dimensional secant method
Comparing secant and Newton method
I faster convergence for Newton
I No need to compute derivatives for secant
Steepest descent (or gradient descent) method (n-dim)
Simplex method (derivative-free)
Elena Perazzi (EPFL) Optimization methods (MFE) Review session Fall 2019 2/6
Lecture 2 – Optimization with equality constraints

Lagrange theorem
Cookbook recipe: the Lagrangean and its FOCs
Constraint qualification : at the optimum, javobian of constraint must
have maximum rank
Intuition: to find a constrained minimum of f , set df = 0 in the
directions in which the constraint is preserved.
Interpretation of Lagrange multipliers
Second order sufficient conditions
I Conditions on the Lagrangean: positive/negative definiteness of d 2 L
for (dx, dy ) s.t. dg = 0.
I Conditions on the bordered hessian.
Newton method with equality constraints: NOT EXAM MATERIAL

Elena Perazzi (EPFL) Optimization methods (MFE) Review session Fall 2019 3/6
Lecture 3 – Optimization with inequality constraints

Penalty function method (also for equality constraints)


Barrier method (only for inequality constraints)
Kuhn-Tucker theorem (necessary conditions) and intuition
Complementarity slackness conditions
Kuhn-Tucker sufficient conditions (convexity properties of objective
function and constraints)

Elena Perazzi (EPFL) Optimization methods (MFE) Review session Fall 2019 4/6
Lecture 4 – Dynamic optimization

Finite-horizon: solving Euler equations starting from final time T and


iterating backward
Infinite-horizon
I Euler equations and transversality condition.
I Solution by forward iteration of Euler equations
I Dynamic programming methods
Existence and uniqueness of solution: Contraction mapping theorem,
Blackwell sufficient conditions.
Solution algorithm by Value function iteration
Example: optimal growth model

Elena Perazzi (EPFL) Optimization methods (MFE) Review session Fall 2019 5/6
Lecture 5 – Dynamic optimization

Solution methods by linearization around steady state NOT EXAM


MATERIAL
some examples of stochastic problems:
I Optimal portfolio choice with CRRA utility
I Unemployed worker problem

Elena Perazzi (EPFL) Optimization methods (MFE) Review session Fall 2019 6/6

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