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2024/2025  KAN-CMECV1063U  Mathematical Optimization: Models, Methods and Applications

English Title
Mathematical Optimization: Models, Methods and Applications

Course information
Language English
Course ECTS 7.5 ECTS
Type Elective
Level Full Degree Master
Duration One Quarter
Start time of the course Second Quarter
Timetable Course schedule will be posted at calendar.cbs.dk
Max. participants 80
Study board
Study Board for HA/cand.merc. i erhvervsøkonomi og matematik, MSc
Course coordinator
  • Dolores Romero Morales - Department of Economics (ECON)
Main academic disciplines
  • Finance
  • Economics
Teaching methods
  • Face-to-face teaching
Last updated on 25-01-2024

Relevant links
Learning objectives
After completing the course, students should:
.
  • Appreciate the important role of Optimization in Decision Making.
  • Display knowledge of Optimization Theory and apply this knowledge in areas such as Portfolio Optimization, Resource Allocation, and Project Management
  • Be confident users of package computer programs that are widely used in industry for Optimization
  • Appreciate the wider implications of multiple objectives and uncertainty in Optimization and the related need for solutions that are both flexible and robust
Examination
Mathematical Optimization: Models, Methods and Applications:
Exam ECTS 7,5
Examination form Home assignment - written product
Individual or group exam Individual exam
Size of written product Max. 10 pages
Assignment type Written assignment
Release of assignment The Assignment is released in Digital Exam (DE) at exam start
Duration 2 weeks to prepare
Grading scale 7-point grading scale
Examiner(s) One internal examiner
Exam period Winter
Make-up exam/re-exam
Same examination form as the ordinary exam
Description of the exam procedure

Two week home assignment will be circulated to the students on the last day of the course 
Course content, structure and pedagogical approach

This course aims to enhance your theoretical knowledge of and practical skills in Optimization tools. The course uses computer software to illustrate how to apply the methodologies we introduce. The course is multidisciplinary in nature with links to areas such as economics, finance, marketing, and operations management. The structure of the course is as follows:

 

          Mixed Integer Linear Programming

  • Modelling
  • Methods
  • Applications

          Nonlinear Programming

  • Modelling
  • Methods
  • Applications

          Multiobjective Optimization

  • The Pareto Frontier
  • Methods
  • Applications

          Stochastic and Robust Optimization

  • Modelling
  • Methods
  • Applications

 

 

The course’s development of personal competences:

 

During the course, and through a hands-on approach supported by optimization theory, students will develop quantitative skills needed for Decision Making, as well as learn to appreciate the implications of multiple objectives and uncertainty in Decision Making and the need for flexible and robust solutions.
Description of the teaching methods
Lectures, Exercises, Demos, Computer Workshops
Feedback during the teaching period
Office hours and workshops
Student workload
Preparation 104 hours
Classes 30 hours
Exam 72 hours
Further Information

Main academic disciplines: Optimization, Economics, Finance
Expected literature

Preparatory Reading

 

Hillier, F.S. and Lieberman, G.J. (2015), Introduction to Operations Research. 10th Edition. McGraw-Hill.

 

Additional Reading

 

Fourer, R., Gay, D. and Kernighan, B. (2002). A Modeling Language for Mathematical Programming. 2nd Edition. Duxbury Press.

 

Rardin, R.L. (1998) Optimization in Operations Research. Prentice Hall.

 

Williams, H.P. (2013), Model Building in Mathematical Programming. 5th Edition. John Wiley & Sons.
Last updated on 25-01-2024