Average customer rating:
- I agree. He did it again.
- Very Good Introduction
- Learn the stuff before writing a textbook
- Better than any of the courses I had attented.
- Elements of Dynamic Optimization
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Elements of Dynamic Optimization
Alpha C. Chiang
Manufacturer: Waveland Pr Inc
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Binding: Hardcover
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ASIN: 157766096X |
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
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Recursive Macroeconomic Theory, 2nd Edition
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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.
Previous reviews have made a chapter by chapter analysis of the book and hence I will just highlight some of the things I liked about the approach used by the author. Whenever a theorem is stated different examples are given to emphasize the points. For example when stating the Lagrange Theorem and Kuhn-Tucker theorem the author points out when the theorems fail and gives detailed examples to illustrate the ideas. The author often draws from examples in finance to illustrate the practical importance of the theory. The one I liked most was how a cost minimization problem was solved by reducing the solution space to a compact space and then applying the Weierstrass theorem. The author also shows how some of the "cookbook" procedures really work and warns the readers against potential pitfalls in applying such procedures. If you are planning to study optimization theory and are looking for a good entry point into the subject this book is for you.
Average customer rating:
- Good Before Your First Year
- Excellent supplement
- I was very stupid to buy this book
- elegant small book on economic theory
- EXCELLENT BOOK......
|
Optimization in Economic Theory
Avinash K. Dixit
Manufacturer: Oxford University Press, USA
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ASIN: 0198772106 |
Book Description
Building on a base of simple economic theory and elementary linear algebra and calculus, this broad treatment of static and dynamic optimization methods discusses the importance of shadow prices, and reviews functions defined by solutions of optimization problems. Recently revised and
expanded, the second edition will be a valuable resource for upper level undergraduate and graduate students.
Customer Reviews:
Good Before Your First Year.......2004-06-30
If you haven't had a lot of math before entering an econ PhD program, this book is a great intro. I highly recommend if you need info on
- Lagrange's method & Shadow prices
- Value functions
- Convex sets
- Maximum Theorem
- Dynamic Programming
It's a quick read, but well worth your time.
Excellent supplement.......2002-12-19
This book is an excellent supplement for classroom lecture. I often used it to clarify methodology used in my graduate level macroeconomics course. The presentation of the maximum principle and Hamiltonians in dynamic optimization was most helpful. In about 10 pages he clarified what 6 hours of reviewing lecture notes could not.
I was very stupid to buy this book.......2001-11-24
Many people say this book is great. But donot be fool! They are trying to make you a fool!
The authors gets everything from the air! My impression is this book is a baby sersion of the Varian Microeconomic Analysis book. I learn absolutely nothing from this book.
elegant small book on economic theory.......2001-07-29
This book is a gem. Very clear exposition of the lagrange method and multipliers, and other optimization methods. Dixit finds economic intuition in every step of the math. I pick up this book anytime I need to remind myself how the mind of a clear economic thinker works. No personal economics library could be complete without it.
EXCELLENT BOOK.............2001-04-21
ALL ABOUT OPTIMIZATION IN ECONOMIC. ONE OF THE BEST.
Average customer rating:
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Managing in Uncertainty: Theory and Practice (Applied Optimization)
C. Zopounidis , and
P.M. Pardalos
Manufacturer: Springer
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ASIN: 079235110X |
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.
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.
Book Description
Two-sided matching provides a model of search processes such as those between firms and workers in labor markets or between buyers and sellers in auctions. This book gives a comprehensive account of recent results concerning the game-theoretic analysis of two-sided matching. The focus of the book is on the stability of outcomes, on the incentives that different rules of organization give to agents, and on the constraints that these incentives impose on the ways such markets can be organized. The results for this wide range of related models and matching situations help clarify which conclusions depend on particular modeling assumptions and market conditions, and which are robust over a wide range of conditions.
Customer Reviews:
practical and clear and covers material you don't see very o.......2005-02-11
This book is totally dedicated to matching theory. The book in itself is rather general, it doesn't focus on any particular application, and discusses matching as a general abstract theory. Therefore the book can be used by both micro- and macro people equally. It basically covers the problem of one-to-one and one-to-many matchings and tries to explain when equilibriums exist and if matches are unique or non-unique and comes with algorithms or constructive methods to actually do the matching. The structure of the book is mostly like math books and at each step presents an algorithm or a theorem or lemma that states a result. In most cases the proof comes afterwards. However this doesn't undermine the practicality of the book as you can easily locate the algorithm or theorem that embodies your required result and just use it. In my opinion this is one of those books you want to keep on your shelf and refer to every now and then when need be.
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.
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.
Today, there are several books on Mathematical Economics, maybe better than this, therefore someone thinking about adopting it should be careful.
Book Description
The use of mathematical models in financial management is today common business practice. The state of the art is constantly being advanced by academia and refined by industry. This book achieves two objectives. First, it brings together the (apparently) diverse fields of finance and management science/operations research. It presents a variety of techniques used in complex problems for financial management: optimization, simulation, stochastic programming and supercomputing. Second, it links current industrial practices with academic research to a degree unparalleled by any previous publication in the field.
Customer Reviews:
Excellent organization of conference and contents.......2001-02-21
This book is a compilation of conferent at Wharton school, one topic was financial engineering. The editor, Zenios, categorizes the conferences in great organization. Even though it was from conference, I almost have no feeling or conference paper reading at all. The book consists of 3 parts. Part I is the general idea of financial engineering with methodology (e.g. risk management, stochastic optimization). Part II is the experience from practitioners (very good). Part III is more advanced issue in methodology. In sum, this is an intermediate book for senior undergrad or grad student or even practitioner in this area for the contents and presentation matter.
A must for all Quantatative Financial Managers.......2000-03-31
The book is on the prescribed reading list of the Society of Actuaries Fellowship Investments Examination and the reason why is pretty obvious! The book basically explains how techniques from the Applied Mathematics field can be applied to Finance and Investments and the benefits of this application. It explains in Chapter 12 why the traditional actuarial approach to Immunization Theory is too simplistic and how to generalize this theory so it becomes a useful tool in practice. In Chapter 5, actuaries are taught the advantages of using modern simulation techniques for valuing SPODA's, a very topical subject in the US today. My only critisism of the book is that not in all chapters are numerical examples given so that becomes more alive and meaningful. The book is useful not only to actuaries, but to all the Financial Engineering community.
Average customer rating:
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Nonlinear Dynamics and Statistics
Manufacturer: Birkhäuser Boston
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Binding: Hardcover
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ASIN: 0817641637 |
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.
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