1. Dynamic Optimization In Economics
2. What Is Dynamic Optimization

Author:Alpha C. ChiangISBN:349Genre:Business & EconomicsFile Size:74.60 MBFormat:PDFDownload:890Read:787In this text, Dr. Chiang introduces students 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.

Author:Art LewISBN:130Genre:ComputersFile Size:88.96 MBFormat:PDF, ePub, MobiDownload:940Read:1149This book provides a practical introduction to computationally solving discrete optimization problems using dynamic programming. From the examples presented, readers should more easily be able to formulate dynamic programming solutions to their own problems of interest. We also provide and describe the design, implementation, and use of a software tool that has been used to numerically solve all of the problems presented earlier in the book. Author:Karl HindererISBN:141Genre:Business & EconomicsFile Size:84.2 MBFormat:PDF, DocsDownload:826Read:1106This book explores discrete-time dynamic optimization and provides a detailed introduction to both deterministic and stochastic models. Covering problems with finite and infinite horizon, as well as Markov renewal programs, Bayesian control models and partially observable processes, the book focuses on the precise modelling of applications in a variety of areas, including operations research, computer science, mathematics, statistics, engineering, economics and finance. Dynamic Optimization is a carefully presented textbook which starts with discrete-time deterministic dynamic optimization problems, providing readers with the tools for sequential decision-making, before proceeding to the more complicated stochastic models. The authors present complete and simple proofs and illustrate the main results with numerous examples and exercises (without solutions).

With relevant material covered in four appendices, this book is completely self-contained. Author:Hassan AbouEishaISBN:396Genre:ComputersFile Size:87.41 MBFormat:PDF, DocsDownload:908Read:987Dynamic programming is an efficient technique for solving optimization problems. It is based on breaking the initial problem down into simpler ones and solving these sub-problems, beginning with the simplest ones. A conventional dynamic programming algorithm returns an optimal object from a given set of objects.

This book develops extensions of dynamic programming, enabling us to (i) describe the set of objects under consideration; (ii) perform a multi-stage optimization of objects relative to different criteria; (iii) count the number of optimal objects; (iv) find the set of Pareto optimal points for bi-criteria optimization problems; and (v) to study relationships between two criteria. It considers various applications, including optimization of decision trees and decision rule systems as algorithms for problem solving, as ways for knowledge representation, and as classifiers; optimization of element partition trees for rectangular meshes, which are used in finite element methods for solving PDEs; and multi-stage optimization for such classic combinatorial optimization problems as matrix chain multiplication, binary search trees, global sequence alignment, and shortest paths.

The results presented are useful for researchers in combinatorial optimization, data mining, knowledge discovery, machine learning, and finite element methods, especially those working in rough set theory, test theory, logical analysis of data, and PDE solvers. This book can be used as the basis for graduate courses. Author:Richard E. BellmanISBN:683Genre:MathematicsFile Size:56.34 MBFormat:PDFDownload:955Read:509This classic book is an introduction to dynamic programming, presented by the scientist who coined the term and developed the theory in its early stages. In Dynamic Programming, Richard E.

Bellman introduces his groundbreaking theory and furnishes a new and versatile mathematical tool for the treatment of many complex problems, both within and outside of the discipline. The book is written at a moderate mathematical level, requiring only a basic foundation in mathematics, including calculus. The applications formulated and analyzed in such diverse fields as mathematical economics, logistics, scheduling theory, communication theory, and control processes are as relevant today as they were when Bellman first presented them. A new introduction by Stuart Dreyfus reviews Bellman's later work on dynamic programming and identifies important research areas that have profited from the application of Bellman's theory. Author:Shengxiang YangISBN:165Genre:ComputersFile Size:57.23 MBFormat:PDF, DocsDownload:537Read:719This book provides a compilation on the state-of-the-art and recent advances of evolutionary computation for dynamic optimization problems. The motivation for this book arises from the fact that many real-world optimization problems and engineering systems are subject to dynamic environments, where changes occur over time.

Key issues for addressing dynamic optimization problems in evolutionary computation, including fundamentals, algorithm design, theoretical analysis, and real-world applications, are presented. 'Evolutionary Computation for Dynamic Optimization Problems' is a valuable reference to scientists, researchers, professionals and students in the field of engineering and science, particularly in the areas of computational intelligence, nature- and bio-inspired computing, and evolutionary computation. Author:Eric V. DenardoISBN:Genre:Business & EconomicsFile Size:56.97 MBFormat:PDF, DocsDownload:416Read:1330This book on constrained optimization is novel in that it fuses these themes:. use examples to introduce general ideas;. engage the student in spreadsheet computation;. survey the uses of constrained optimization.

investigate game theory and nonlinear optimization,. link the subject to economic reasoning, and. present the requisite mathematics. Blending these themes makes constrained optimization more accessible and more valuable. It stimulates the student’s interest, quickens the learning process, reveals connections to several academic and professional fields, and deepens the student’s grasp of the relevant mathematics. The book is designed for use in courses that focus on the applications of constrained optimization, in courses that emphasize the theory, and in courses that link the subject to economics. Author:Eric V.

DenardoISBN:UOM:9085Genre:MathematicsFile Size:59.22 MBFormat:PDF, MobiDownload:608Read:322Introduction to sequential decision processes covers use of dynamic programming in studying models of resource allocation, methods for approximating solutions of control problems in continuous time, production control, decision-making in the face of an uncertain future, and inventory control models. A prior course in operations research is prerequisite.

1982 edition. Author:Jacob EngwerdaISBN:513Genre:Business & EconomicsFile Size:51.44 MBFormat:PDF, ePubDownload:359Read:1074Game theory is the theory of social situations, and the majority of research into the topic focuses on how groups of people interact by developing formulas and algorithms to identify optimal strategies and to predict the outcome of interactions. Only fifty years old, it has already revolutionized economics and finance, and is spreading rapidly to a wide variety of fields. LQ Dynamic Optimization and Differential Games is an assessment of the state of the art in its field and the first modern book on linear-quadratic game theory, one of the most commonly used tools for modelling and analysing strategic decision making problems in economics and management. Linear quadratic dynamic models have a long tradition in economics, operations research and control engineering; and the author begins by describing the one-decision maker LQ dynamic optimization problem before introducing LQ differential games. Covers cooperative and non-cooperative scenarios, and treats the standard information structures (open-loop and feedback). Includes real-life economic examples to illustrate theoretical concepts and results.

Presents problem formulations and sound mathematical problem analysis. Includes exercises and solutions, enabling use for self-study or as a course text. Supported by a website featuring solutions to exercises, further examples and computer code for numerical examples.

LQ Dynamic Optimization and Differential Games offers a comprehensive introduction to the theory and practice of this extensively used class of economic models, and will appeal to applied mathematicians and econometricians as well as researchers and senior undergraduate/graduate students in economics, mathematics, engineering and management science.

Dynamic Optimization In Economics

Economics College of Business Charles F. 'Dave' True, Jr. Professor of Petroleum and Natural Gas EconomicsCharles Mason is the H. 'Dave' True, Jr. Chair in Petroleum and Natural Gas Economics in the Department of Economics and Associate Dean for Research in the College of Business at the University of Wyoming.

He is an internationally known scholar with over 80 publications in peer-reviewed journals and book chapters. He served as the managing editor of the Journal of Environmental Economics and Management (the top international journal in the field of Environmental and Resource Economics), from 2006 to 2011. Currently, he is a Co-Editor for Economic Inquiry, an Associate Editor of the European Economic Review, joint editor-in-chief of Strategic Behavior and the Environment, and a Co-Editor for the Journal of the Association of Environmental and Resource Economists. He earned a double B.A.

In Economics and Mathematics in 1977 and a Ph.D. In Economics in 1983, all at the University of California at Berkeley.PhD (Economics), University of California, Berkeley BA (Economics; Mathematics), University of California, BerkeleyResearch Interests: Environmental and Resource Economics, Energy Economics, Industrial Organization, Applied Game TheoryTeaching: Game Theory, Economics of Uncertainty, Dynamic Optimization, Environmental and Resource Economics, and Industrial Organization, Oil and Gas EconomicsRecent Publications:Mason, Charles F. And Gavin Roberts, “Price Elasticity of Supply and Productivity: An Analysis of Natural Gas Wells in Wyoming,” Energy Journal, 2018 v. 79-100.Heyes, Anthony, Andrew J.

What Is Dynamic Optimization

Leach and Charles F. Mason, “The Economics of Oil Sands.” Review of Environmental Economics and Policy 2018, 2018 v. 242-263.Oliver, Matt and Charles F.

Mason, “Natural Gas Pipeline Regulation in the United States: Past, Present and Future” Foundations and Trends in Microeconomics, 2018 v. 227-289.Mason, Charles F., Stephen Polasky and Nori Tarui, “Cooperation on Climate-Change Mitigation,” European Economic Review, 2017 v. 43-55.Mason, Charles F., “The U.S. Market for Uranium: 70 years of History,” Foundations and Trends in Microeconomics, 2017 v. 141-226.Mason, Charles F.

And Neil Wilmot, “Price Discontinuities in the Market for RINs,” Journal of Economic Behavior and Organization, 2016 v. 132 (Part B), pp. 79-97.Mason, Charles F., “Climate Change and Migration: A Dynamic Model,” CESifo Economic Studies, 2017 v 63, pp. 421-444.Wood, Aaron D., Charles F.

Mason, and David Finnoff, “OPEC, the Seven Sisters, and Oil Market Dominance: An Evolutionary Game Theory and Agent-Based Modeling Approach,” Journal of Economic Behavior and Organization, 2016 v. 132 (Part B), pp. 66-78.Mason, Charles F. Phillips, “Imminent Entry and the Transition to Multimarket Rivalry: Messy Markets in a Laboratory Setting,” Journal of Economics & Management Strategy 2016 v. 1018-1039.Mason, Charles F., “Concentration Trends in the Gulf of Mexico Oil and Gas Industry,” Energy Journal 2015, v36(SI1), pp.

215-236.Mason, Charles F., Lucija A. Muehlenbachs, and Sheila M. Olmstead, “The Economics of Shale Gas Development,” Annual Review of Resource Economics 2015, v. 269-289.Mason, Charles F., Victoria Umanskaya and Edward Barbier, “On the Strategic Use of Border Tax Adjustments as a Second-Best Climate Policy Measure,” Environment and Development Economics 2015, v. 539-560.Working Paper Abstracts:Optimal Contracts for Discouraging Deforestation with Risk Averse AgentsAs we enter the second decade of the 21 st century there is an emerging consensus that carbon emissions must be limited. An attractive approach to promoting carbon reductions, which offers a variety of co-benefits, is to encourage reductions in deforestation.

Despite this potential, any strategy geared towards encouraging such reductions must confront a basic problem, stemming from symmetric information: agents that might be induced to reduce their actions which would reduce forests have private information about their opportunity costs. This concern seems particularly likely to apply in situations where there are significant related risks, as agents seem highly likely to differ in their tolerance for risk. In this paper, I investigate a contracting scheme designed to mitigate the asymmetric information problem where agents are heterogeneous in their tolerance for risk.Why do Firms Hold Oil Stockpiles?Persistent and significant privately-held stockpiles of crude oil have long been an important empirical regularity in the United States.

Such stockpiles would not rationally be held in a traditional Hotelling-style model. How then can the existence of these inventories be explained? In the presence of sufficiently stochastic prices, oil extracting firms have an incentive to hold inventories to smooth production over time. An alternative explanation is related to a speculative motive - firms hold stockpiles intending to cash in on periods of particularly high prices. I argue that empirical evidence supports the former but not the latter explanation.On the Interaction of Eco-Labeling and TradeWhile environmental certification can provide useful information to consumers, there is concern that it indirectly erects trade barriers.

I construct a two-country model where some firms use an environmentally-unfriendly (brown) production technology in each country, while other firms use environmentally-friendly (green) techniques. There are two green techniques, one in each country. Obtaining the eco-label entails certification costs; green firms in the exporting country must bear an additional cost to obtain the eco-label.

I discuss the impact of eco-labeling on the quantities of green goods produced in each country and resultant welfare impacts, and the impact of changes in labeling costs.Analyzing the Risk of Tra nsporting Crude Oil by RailIn this paper, I combine data on incidents associated with rail transportation of crude oil and detailed data on rail shipments to appraise the relation between increased use of rail to transport crude oil and the risk of safety incidents associated with those shipments. I find a positive link between the accumulation of minor incidents and the frequency of serious incidents, and a positive relation between increased rail shipments of crude oil and the occurrence of minor incidents. I also find that increased shipments are associated with a rightward shift in the distribution of economic damages associated with these shipments; the implied marginal impact of an additional 1,000 rail cars carrying oil between two states in a given month is $1,925. In addition, I find larger average effects associated with states that represent the greatest source of tight oil production.Jumps in the Convenience Yield of Crude Oil?We study the time path of convenience yields associated with crude oil, allowing for the potential presence of jumps and time-varying volatility - each of which can yield abnormally fat tails - for four futures prices time horizons ( 3,- 4-, 6- and 12-month ahead). We find that both jumps and time-varying volatility exert a statistically important effect on convenience yields, for each of the four time horizons. We also calculate the implied probability that at least one jump would occur in any month, which reveals a period of relative calm at the start of the fracking boom, when large stockpiles built up at the trading hub for West Texas Intermediate, and a period of considerable churn, after the ban on exporting crude oil was lifted. Both elements underscore a linkage between inventory holdings and convenience yields.Climate Agreements with Asymmetric Countries: Theory and Experimental ResultsI model International climate agreements among asymmetric countries, each of whom must select a profile of CO 2 emissions over time.

Predictions from this model imply larger reductions by “large” countries, but larger proportional reductions by “small” countries. I then analyze experimental data that sheds light on this issue. In contrast to the theoretical predictions, I find that smaller countries do not reduce emissions proportionately to their Nash level, and so the burden falls mostly on larger countries.

Moreover, combined emissions are indistinguishable from the one-shot Nash emissions. This pessimistic outcome extends the commonly-found result in the literature that negotiations in similar repeated games (but with symmetric players) generally do not offer much hope for meaningful agreements, unless the effects are modest.