Магистратура
2020/2021
Динамическая оптимизация для целей исследования в бизнесе
Лучший по критерию «Полезность курса для расширения кругозора и разностороннего развития»
Статус:
Курс по выбору (Менеджмент и аналитика для бизнеса)
Направление:
38.04.02. Менеджмент
Кто читает:
Департамент менеджмента
Где читается:
Санкт-Петербургская школа экономики и менеджмента
Когда читается:
2-й курс, 1, 2 модуль
Формат изучения:
с онлайн-курсом
Преподаватели:
Слоев Игорь Анатольевич
Прогр. обучения:
Менеджмент и аналитика для бизнеса
Язык:
английский
Кредиты:
3
Контактные часы:
16
Course Syllabus
Abstract
This course covers topics in dynamic optimization methods which might be relevant for applied business research: investment decisions, pricing etc. It discovers and explores cases both in discrete and in continuous time. The methodological approaches address methods in dynamic programming and optimal solutions across infinite/finite time horizons. The course illustrates how dynamic optimization is useful for business strategies development on a rigorous analytical base.
Learning Objectives
- introduce students to the main types of optimization problems and approaches to their solution;
- master the methods of solving optimization dynamic problems in discrete time
- teach students to apply dynamic optimization methods to solve applied problems in management
Expected Learning Outcomes
- to differentiate dynamic optimisation methods
- to distinguish situations where dynamic optimisation methods can be used
- to apply dynamic optimization techniques for different business problems
- to construct Bellman equation and find close-form solution if possible
- to estimate Bellman equation
Course Contents
- Programming modelling for business solutions
- Bellman equation for value and profit functions
- SML and SMM for problems without close-form solutions
Assessment Elements
- Control work
- Problem-solving discussions
- Labs
- exam
- Control work
- Problem-solving discussions
- Labs
- exam
Interim Assessment
- Interim assessment (2 module)0.1 * Control work + 0.5 * exam + 0.3 * Labs + 0.1 * Problem-solving discussions
Bibliography
Recommended Core Bibliography
- Blot, J., & Hayek, N. (2014). Infinite-Horizon Optimal Control in the Discrete-Time Framework. New York: Springer. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=662694
Recommended Additional Bibliography
- Akram Chibani, Xavier Delorme, Alexandre Dolgui, & Henri Pierreval. (2018). Dynamic optimisation for highly agile supply chains in e-procurement context. International Journal of Production Research, (17), 5904. https://doi.org/10.1080/00207543.2018.1458164