SYS 603 - Mathematical Programming

Presents the foundations and taxonomy of mathematical modeling and optimization: building blocks of models and the centrality of state variables; optimality conditions in mathematical programming: convexity, Lagrangian function, necessary and sufficient conditions for optimality; nonlinear optimization; necessary and regularity conditions for non-linear systems; Kuhn-Tucker conditions; the epsilon-constrained formulation; the Surrogate Worth Trade-Off (SWT) method; linear programming; the complementary slackness theorem; the simplex algorithm; Leontief input-output optimization model; quadratic and dynamic programming; Bayesian dynamic programming; and hierarchical decomposition. (Y)

Prerequisites & Notes
Prerequisite: Two years of college mathematics, including linear algebra, and the ability to write computer programs.

Credits: 3