Elements of Dynamic Optimization

Book Description

In this volume Dr. Chiang introduces readers to the most important methods of dynamic optimization used in economics. The classical calculus of variations, optimal control theory, and dynamic programming in its discrete form are explained in the usual Chiang fashion--with patience and thoroughness. The economic examples, selected from both classical and recent literature, serve not only to illustrate applications of the mathematical methods, but also to provide a useful glimpse of the development of thinking in several areas of economics. Outstanding features include: (1) written with clarity and a comparable level of expository patience; (2) reinforces discussions of mathematical techniques with numerical illustrations, economic examples, and exercise problems; (3) presents a simple problem with a well- known solution in several different alternative formulations in the numerical illustrations; and (4) explains economic models in a step-by-step manner (from the initial construction through the intricacies of mathematical analysis to its final solution).

Customer Reviews:

I agree. He did it again........2007-09-02

Yes, he did it again. He simply explains it clearly.

Not a serious book for graduate students, but for undergraduates: this book is just in the middle of two levels.

Very Good Introduction.......2005-03-23

This book provides an introduction to the advanced subject of dynamic optimization in an easy to comprehend manner. For students with no previous background in the subject, it is the best book in the market.If you are familiar with Chiang's Fundamental Methods of Mathematical Economics, you can expect the same level of comfort. There are plenty of examples in the text and all the aspects of the subject are covered. A valuable book to own and deserves the 5 stars.

Learn the stuff before writing a textbook.......2002-08-30

This book may be great for students. I has many good examples, is well written and generally looks good. HOWEVER, for anyone who actually knows optimal control theory it is clear that the book has several flaws. The worst example is the section on transversality conditions in infinite horizon problems. Chiang simply has no idea what he is talking about.

Better than any of the courses I had attented........2001-02-22

The book of professor Chiang is not simply a good introductory text to dynamic optimization in the continuous-time form, but also provides a tight explanation of the related original economic models. It is better than any of the courses most people had attented before. I wish a similar book will appear soon, developing dynamic optimization tools, and especially optimal control in the discret-time form.

Elements of Dynamic Optimization.......2000-07-17

Very few people have the quality of expressing ideas and concepts with such clarity and simplicity as Professor Chinag has done. If you are new to dynamic optimization, particularly calculus and variation and optimal control theory you had better start with this treatise.

Average customer rating:

Great Review of Optimization for Graduates
a good book...
Outstanding... a MUST
Couldn't ask for much more.
The title says it all

A First Course in Optimization Theory
Rangarajan K. Sundaram
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Paperback

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ASIN: 0521497701

Book Description

This book introduces students to optimization theory and its use in economics and allied disciplines. The first of its three parts examines the existence of solutions to optimization problems in Rn, and how these solutions may be identified. The second part explores how solutions to optimization problems change with changes in the underlying parameters, and the last part provides an extensive description of the fundamental principles of finite- and infinite-horizon dynamic programming. A preliminary chapter and three appendices are designed to keep the book mathematically self-contained.

Customer Reviews:

Great Review of Optimization for Graduates.......2007-01-03

This book is a great review prior to starting graduate study in economics. Its accessible even if you've never studied optimization before, and covers many of the main optimization concepts used in first semester graduate coursework.

a good book..........2005-10-17

a good book with lots of preliminary math review, but exercises are not that well

Outstanding... a MUST.......2005-04-12

Excellent introduction to optimization techniques with a special emphasis to induce the student to an active and positive attitude towards the rigoruous demonstration of every proposition behind theorems and economic models.
This is not a book for beginners, but an excellent one that helps to develop the abilities required to understand modern textbooks and papers on micro and macroeconomics.
With an excellent presentation, and interesting end-of-chapter exercises, this book cannot be out of every economist's toolbox.

Couldn't ask for much more........2005-02-02

An excellent introduction at this level which is both lucid and rigorous with just enough examples to motivate applications while not leaving the reader swimming in redundancy. The previous review gives details, but I will add that the proofs are concise and clear. The only thing I would add to this book is more and harder problems, but that is easily remedied. If you want a theoretical introduction, buy this book right now -- its one of the best textbooks I have ever seen.

The title says it all.......2004-04-02

A first course in Optimization theory - that is what the book is. The target audience is those who are inetersted in the theory of optimization. Some familiarity with Mathematical Analysis and Matrix Algebra would be helpful; however the first chapter lays the mathematical foundation and a careful reading would enable the reader to tackle the rest of the book.

Book Description

This book provides a new point of view on the subject of the management of uncertainty. It covers a wide variety of both theoretical and practical issues involving the analysis and management of uncertainty in the fields of finance, management and marketing. Audience: Researchers and professionals from operations research, management science and economics.

Handbook of Metaheuristics (International Series in Operations Research & Management Science)

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Handbook of Metaheuristics (International Series in Operations Research & Management Science)

Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

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Accessories:

ASIN: 1402072635

Book Description

The Handbook of Metaheuristics provides both the research and practitioner communities with a comprehensive coverage of the metaheuristic methodologies that have proven to be successful in a wide variety of real-world problem settings. Moreover, it is these metaheuristic strategies that hold particular promise for success in the future. The various chapters serve as stand alone presentations giving both the necessary background underpinnings as well as practical guides for implementation. In most settings a problem solver has an option as to which metaheuristic approach should be adopted for the problem at hand. Alternative methodologies typically exist that could be employed to produce high quality solutions. Often it becomes a matter of choosing one of several approaches that could be adopted. The very nature of metaheuristics invites an analyst to modify basic methods in response to problem characteristics, past experiences, and personal preferences. The chapters in this handbook are designed to facilitate this as well. This Handbook consists of 19 chapters. Topics covered include Scatter Search, Tabu Search, Genetic Algorithms, Genetic Programming, Memetic Algorithms, Variable Neighborhood Search, Guided Local Search, GRASP, Ant Colony Optimization, Simulated Annealing, Iterated Local Search, Multi-Start Methods, Constraint Programming, Constraint Satisfaction, Neural Network Methods for Optimization, Hyper-Heuristics, Parallel Strategies for Metaheuristics, Metaheuristic Class Libraries, and A-Teams. This family of metaheuristic chapters provides a state-of-the-art, comprehensive coverage of the major topics and methodologies of modern metaheuristics.

Stochastic Optimization in Continuous Time

Average customer rating:

A good book that brings out the economic intuition
Perfect tradeoff between intuition and rigor
Great for macro in continuous time
lack of precision

Stochastic Optimization in Continuous Time
Fwu-Ranq Chang
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Hardcover

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ASIN: 0521834066

Book Description

Most of the current books on stochastic control theory are written for students in mathematics or finance. This introduction is designed, however, for those interested in the relevance and applications of the theory's mathematical principles to economics. Therefore, mathematical methods are discussed intuitively and illustrated with economic examples. More importantly, mathematical concepts are introduced in language and terminology familiar to graduate students in economics.

Customer Reviews:

A good book that brings out the economic intuition.......2007-07-31

This is a nice book for optimization in continuous time. I see why somebody could be frustrated with lack of "Proof", however a book with hard-core proofs can miss the forest for the trees. This book strikes a good balance. The author is helpful in admitting where the proof is a mere outline and provides detailed references on where to look. The style of the book is very clear. I will recommend it very highly to economics and finance PhD students. The author provides nuggets of intuition which are very valuable.
The book is different from Shreve's book, which picks the examples from finance and serves a different purpose.

Perfect tradeoff between intuition and rigor.......2006-04-11

This book covers the theory and application of dynamic programming in continuous time. It is the perfect mix of intuition and rigor, for someone who is working on applications of stochastic control. It explains enough theory and methods to get you going...

Great for macro in continuous time.......2005-10-03

This book is very well written, the most prestine text about this subject I have ever laid eyes on. The best thing about this book is its focus on macroeconomics, books on this subject are normally focused on finance. I recommend this book for those who want to study macro in continuous time under uncertainty.

lack of precision.......2005-05-19

When you would like to learn the basic issues of stochastic optimization in continuous time, and you are rather unfamiliar with probability theory, then this book is a bad choice. The treatment is far less rigorous then promised by the praise at the back cover of the book. The proofs are often not that rigorous to deserve the name of proof. As in so many books the author invokes the so-called principle of optimality, suggesting that it is an eternal truth. As a heuristic principle this is fine, it is only a theorem, when properly phrased, under certain conditions, see for instance the works of Bertsekas. Furtheron the notation is now and then misleading.
It is quite well possible, that in the hands of a good teacher this is a valuable book, but someone, who would like to learn the trade on her own, by using this book, is strongly advised not to do so, and instead start with a mathematically sound introduction to stochastic processes. Someone, who would like to have a good intro in the context of finance is strongly advised to consult the two latest books by Shreve. These books are in my view exemplary for a thorough introduction to stochastic processes in an applied context.

Mathematical Optimization and Economic Theory (Classics in Applied Mathematics)

Average customer rating:

Great book for an intermediate user!
Difficult but very good

Mathematical Optimization and Economic Theory (Classics in Applied Mathematics)
Michael D. Intriligator
Manufacturer: Society for Industrial Mathematics
ProductGroup: Book
Binding: Paperback

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ASIN: 0898715113

Book Description

Mathematical Optimization and Economic Theory provides a self-contained introduction to and survey of mathematical programming and control techniques and their applications to static and dynamic problems in economics, respectively. It is distinctive in showing the unity of the various approaches to solving problems of constrained optimization that all stem back directly or indirectly to the method of Lagrange multipliers. In the 30 years since its initial publication, there have been many more applications of these mathematical techniques in economics, as well as some advances in the mathematics of programming and control. Nevertheless, the basic techniques remain the same today as when the book was originally published. Thus, it continues to be useful not only to its original audience of advanced undergraduate and graduate students in economics, but also to mathematicians and other researchers who are interested in learning about the applications of the mathematics of optimization to economics.

Customer Reviews:

Great book for an intermediate user!.......2005-08-15

Well organized, nicely written without harsh mathematical language but with deep mathematical thought and logic. Excellent book. I highly recommend it as an overview or refresher for an intermediate user.

Difficult but very good.......2000-04-16

This book covers static and dynamic optimization theory. The text is presented in matrix notation, which makes it difficult for those not acquainted with.

The main topic on static optimization is nonlinear programming, wonderfully written. Together with calculus of variations, Bellman equation is also covered in dynamic programming.

The author presents several applications. The main are about static comparative, general equilibrium, welfare economics (all concerning static optimization) and optimal economic growth.

One chapter is devoted to Game Theory, but I think there are better books on that.

The exercises are extremelly difficult, although very interesting.

Book Description

Recently, a great deal of progress has been made in the modeling and understanding of processes with nonlinear dynamics, even when only time series data are available. Modern reconstruction theory deals with creating nonlinear dynamical models from data and is at the heart of this improved understanding. Most of the work has been done by dynamicists, but for the subject to reach maturity, statisticians and signal processing engineers need to provide input both to the theory and to the practice. The book brings together different approaches to nonlinear time series analysis in order to begin a synthesis that will lead to better theory and practice in all the related areas. This book describes the state of the art in nonlinear dynamical reconstruction theory. The chapters are based upon a workshop held at the Isaac Newton Institute, Cambridge University, UK, in late 1998. The book's chapters present theory and methods topics by leading researchers in applied and theoretical nonlinear dynamics, statistics, probability, and systems theory. Features and topics: * disentangling uncertainty and error: the predictability of nonlinear systems * achieving good nonlinear models * delay reconstructions: dynamics vs. statistics * introduction to Monte Carlo Methods for Bayesian Data Analysis * latest results in extracting dynamical behavior via Markov Models * data compression, dynamics and stationarity Professionals, researchers, and advanced graduates in nonlinear dynamics, probability, optimization, and systems theory will find the book a useful resource and guide to current developments in the subject.

Dynamic Optimization: The Calculus of Variations and Optimal Control in Economics and Management (Advanced Textbooks in Economics)

Average customer rating:

Great clear textbook
Chiang's book is best.
A must book for every serious economics student

Dynamic Optimization: The Calculus of Variations and Optimal Control in Economics and Management (Advanced Textbooks in Economics)
Morton I. Kamien , and Nancy L. Schwartz
Manufacturer: Elsevier Science
ProductGroup: Book
Binding: Hardcover

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ASIN: 0444016090

Book Description

The long awaited second edition of Dynamic Optimization is now available. Clear exposition and numerous worked examples made the first edition the premier text on this subject. Now, the new edition is expanded and updated to include essential coverage of current developments on differential games, especially as they apply to important economic questions; new developments in comparative dynamics; and new material on optimal control with integral state equations.

The second edition of Dynamic Optimization provides expert coverage on:- methods of calculus of variations - optimal control - continuous dynamic programming - stochastic optimal control -differential games. The authors also include appendices on static optimization and on differential games.

Now in its new updated and expanded edition, Dynamic Optimization is, more than ever, the optimum choice for graduate and advanced undergraduate courses in economics, mathematical methods in economics and dynamic optimization, management science, mathematics and engineering.

New features of Dynamic Optimization will show students:advances in how to do comparative dynamics; how to optimally switch from one state equation to another during the planning period; how to take into account the history of the system governing an optimization problem through the use of an integral state equation; and how to apply differential games to problems in economics and management sciences.

Customer Reviews:

Great clear textbook.......2007-01-27

I believe this was the first textbook to introduce dynamic optimization to economists. It's simply and clearly written. Each chapter introduces a new development, goes into the theory behind it and gives examples, in just a few pages so you can go through it in bite-sized chunks. The style is unfussy but doesn't talk down to you. Two appendices explain important theorems in calculus and differential equations, briefly but in enough detail to be usable if you aren't familiar with those parts of the maths. This is an excellent textbook, although I can't compare it with the competition.

Chiang's book is best........2001-05-04

This book is decent, but I think that Chiang book is better that this book, I recommend "Elements of Dynamic Optimization" from Alpha Chiang (ISBN: 157766096X), it's better.

A must book for every serious economics student.......2001-02-15

There is no doubt that to master in advanced economics one should have a firm grasp on mathematical tools. Kamien and Schwartz's Dynamiz Optimization is the perfect book to this end. Actually it deserves a rating more than five stars.

Foundations of Dynamic Economic Analysis: Optimal Control Theory and Applications

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Foundations of Dynamic Economic Analysis: Optimal Control Theory and Applications
Michael R. Caputo
Manufacturer: Cambridge University Press
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Binding: Paperback

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ASIN: 0521603684

Book Description

Presenting a thorough introductory exposition of optimal control theory, this work differs from the existing textbooks on the subject due to its emphasis on the economic interpretation of the mathematics and the qualitative properties of the solutions. Moreover, it is a modern exposition of optimal control theory in that it presents numerous complementary methods. It is aimed at first-year and second-year PhD students in economics, agricultural and resource economics, operations research, management science, and applied mathematics.

Introduction to Logistics Systems Planning and Control (Wiley Interscience Series in Systems and Optimization)

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Logistics Handbook

Introduction to Logistics Systems Planning and Control (Wiley Interscience Series in Systems and Optimization)
Gianpaolo Ghiani , Gilbert Laporte , and Roberto Musmanno
Manufacturer: Wiley
ProductGroup: Book
Binding: Paperback

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ASIN: 0470849177

Book Description

Logistics is defined as a business planning framework for the management of material, service, information and capital flows. Logistic systems have received considerable attention in the last 10 years, as they constitute one of the cornerstones in the design and control of production systems and the modeling of supply chains. This renewed interest is partly due to the recognition that well-known planning and control systems such as ‘Manufacturing Resources Planning’ and ‘Just in Time’ systems fail to establish a sound integration of lead time management, capacity planning and quality considerations.

This book uniquely:

Presents a balanced treatment of quantitative methods for logistics systems planning, organization and control.
Each topic is illustrated with real examples.
Each chapter features an annotated bibliography of key references.
Features a number of case studies that show how the methods can be applied to complex logistics problems.
Assumes only a basic knowledge of operations research.
Supported by a Website (http://wileylogisticsbook.dii.unile.it) featuring exercises and teaching material.

A unique, leading edge title for researchers, practitioners, and students of logistics and supply chain management, in both academia; engineering, computer science, management science, undergraduate, graduate students and industry professionals.

Download Description

This book uniquely:

Presents a balanced treatment of quantitative methods for logistics systems planning, organization and control.
Each topic is illustrated with real examples.
Each chapter features an annotated bibliography of key references.
Features a number of case studies that show how the methods can be applied to complex logistics problems.
Assumes only a basic knowledge of operations research.
Supported by a Website featuring exercises and teaching material.

Customer Reviews:

Logistics Handbook.......2007-01-12

If you want to have a quick reference book rich in logistic quantitative methods, then this book a very good choice. It is concise an easy to read.

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