Economics 590: Mathematical Economics, fall 2011


Instructor: Jeremy Sandford

Office hour: by appointment
Lecture: TH 12:30-1:45pm, 308 B&E
Exam dates: Tuesday, September 27th (in class), Thursday, October 27th (in class), and Tuesday, December 13th from 10:30am-12:30pm (B&E 308)

syllabus

Required course books: "A first course in optimization theory," by Rangarajan Sundaram, Mathematics for Economists, by Carl Simon and Lawrence Blume

2008 class website

Homework 1, answers
Homework 2, answers
Homework 3, answers
Homework 4, answers, Scott Hall's excel file for fish hatchery problem
Homework 5, answers

Take-home portion of final exam, due 12/13/11 by 12:30pm


Schedule


Thursday, August 25: Optimization introduction, Weierstrass theorem

Tuesday, August 30: Basic topology: sets and functions
reading: Sundaram, 1.1.1, 1.2.9, 1.2.10, 1.4.1
Simon and Blume, 13

Thursday, September 2: Basic topology: open and closed sets
reading: Sundaram, 1.2.7, 1.2.8, 1.2.2
Simon and Blume, 12

Tuesday, September 7: Derivatives, gradients
reading: Sundaram, 1.4
Simon and Blume, 14

Thursday, September 9: Directional derivatives, constrained optimization
reading: Sundaram, chapters 2-5
Simon and Blume, chapters 17, 18.1-18.2

Tuesday, September 13: examples of equality-constrained optimization
reading: Sundaram, chapters 2-5
Simon and Blume, chapters 17, 18.1-18.2

Thursday, September 15: equality-constrained optimization problem with many variables, multiple constraints, formal statement of Theorem of Lagrange
reading: Sundaram, chapters 2-5
Simon and Blume, chapters 17, 18.1-18.2

Tuesday, September 20: Still more examples of equality-constrained optimization problems
reading: Sundaram, chapters 2-5
Simon and Blume, chapters 17, 18.1-18.2, 19.1, 19.3

Thursday, September 22: equality- and inequality-constrained optimization problems
reading: Sundaram, chapters 2-6
Simon and Blume, chapters 17-18, 19.1, 19.3

Tuesday, September 27: Midterm 1

Thursday, September 29: Inequality-constrained optimization problems
reading: Sundaram, chapter 6
Simon and Blume, chapter 18-19

Tuesday, October 4: Concave and convex functions and optimization
reading: Sundaram, chapter 7
Simon and Blume, chapters 21-22

Thursday, October 6: optimization under concavity, quasiconcave and quasiconvex functions and optimization
reading: Sundaram, chapter 8 Simon and Blume, chapters 21-22

Tuesday, October 11: introduction to dynamic optimization
reading: Sundaram, chapter 11

Thursday, October 13: More on finite-horizon dynamic programming
reading: Sundaram, chapter 11

Tuesday, October 18: Infinite horizon dynamic programming: Ramsey growth model, guess and verify
reading: Sundaram, chapter 12 Adda and Cooper, chapter 2

Thursday, October 20: Infinite horizon dynamic programming: adjustment cost model, examples of writing down Bellman equations
reading: Sundaram, chapter 12
Adda and Cooper, chapter 2

Tuesday, October 25: Infinite horizon dynamic programming: Euler equations, convergence to steady state in Ramsey growth model
reading: Sundaram, chapter 12d
Adda and Cooper, chapter 2

Thursday, October 27: Midterm 2 (with answers)
I've updated the answer to question 3

Tuesday, November 1: Numerical value function iteration
reading: Adda and Cooper, chapter 3
Excel spreadsheet generated in class

Thursday, November 3: Euler equations, steady states, convergence to steady states

Tuesday, November 8: Labor market search: introduction
reading: Adda and Cooper, section 10.6
optional: Sargent and Ljunqvist, chapter 6 (see me if you need a copy of the book to photocopy)

Thursday, November 10: Labor market search: unemployment and mean-preserving spreads
reading: Sargent and Ljunqvist, chapter 6

Tuesday, November 15: Labor market search: Neal model of career choice
reading: Sargent and Ljunqvist, section 6.5
Neal, D., 1999, "The complexity of job mobility among young men", Journal of Labor Economics, 17.2, pp. 237-261
matlab code Sargent and Ljungvist refer to (may be useful as example)

Thursday, November 17: Labor market search: examples expanding on basic model
reading: Sargent and Ljungvist, chapter 6

Tuesday, November 22: No class

Thursday, November 24: No class (Thanksgiving)

Tuesday, November 28: Sequences and infinite sums
reading: Sundaram, sections 1.2.1-1.2.2
Simon and Blume, chapter 12

Thursday, December 1: Expected utility
reading: a micro book of your choice

Tuesday, December 6: Taylor polynomials
reading: Simon and Blume, sections 30.2-30.3

Tuesday, December 13: final exam, 10:30-12:30
topics: dynamic programming with an emphasis on search. You should study the problems at the end of Sargent and Ljungqvist, chapter 6 to prepare (among other things).