ARE 263

Methods of Dynamic Analysis and Control

Instructors: Larry Karp and Christian Traeger

Meets Tu/Th 12:30-2:00 in 201 Giannini Hall
 
 
 
 
Syllabus (including some Readings) html 
Syllabus (including some Readings) doc
 
Summary of lectures
Course requirements:
(i)   Approximately half a dozen problem sets
(ii)  A final exam. 

List of topics:

    1. Basics of dynamic programming (discrete time)
    2. The linear-quadratic model
    3. Learning about unknown parameters
    4. Numerical solutions to dynamic problems
    5. Introduction to continuous time dynamics 
    6. The Calculus of Variations (COV)
    7. The Maximum Principle
    8. The dynamic programming equation in continuous time
    9. Event uncertainty
    10. Non-convex control problems
    11. Time consistency
    12. Discounting
    13. (Learning under) Ambiguity
    14. Continuous time stochastic control and optimal stopping
    15. Disentangling intertemporal substitutability from risk aversion


ScientificWorkplace is installed in the stat lab rm 236 Giannini on the left-most Windows computer -- viewed as if standing in the doorway.  The host name of the computer is gia236a.are.berkeley.edu, although that name is not prominently displayed on the machine.


Office Hours:

Larry Karp: Fridays 9-10am or by appointment, 206 Giannini Hall
Christian Traeger: Thursdays 5-6pm or by appointment, 322 Giannini Hall

 

Class Notes:

 

 

Problem sets and solutions:

Problem set 1 (due Sept 9)

Problem set 2  Paper needed for problem set  Hint/solution for the first problem (due Sept 16)

Problem set 3  Gams file erc Gams file erm (due Sept 23)   Solution PS 3

Problem set 4  (due October 9)

Problem set 5  (Due October 28)  Matlab predator_prey  Matlab prey  Solution PS 5

Problem set 6  (Due November 18)  Solution PS 6

 

 

Old exams:

exam 2001     exam 2002  exam 2003   exam 2004 and key  exam 2006 and key

 

 

Old lecture notes from previous years: