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

New

Text Box: Summary of lectures

Text Box: Course requirements:

Text Box: (i)   Approximately half a dozen problem sets

Text Box: (ii)  A final exam. 

List of topics:

1. Text Box:  Basics of dynamic programming (discrete time)

2.  

3. Text Box:  The linear-quadratic model

4.  

5. Text Box:  Learning about unknown parameters

6.  

7. Text Box:  Numerical solutions to dynamic problems

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9. Text Box:  Introduction to continuous time dynamics 

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11. Text Box:  The Calculus of Variations (COV)

12.  

13. Text Box:  The Maximum Principle

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15. Text Box:  The dynamic programming equation in continuous time

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17. Text Box:  Event uncertainty

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19. Text Box:  Non-convex control problems

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21. Text Box:  Time consistency

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23. Text Box:  Discounting

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25. Text Box:  (Learning under) Ambiguity

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27. Text Box:  Continuous time stochastic control and optimal stopping

28.  

29. Text Box:  Disentangling intertemporal substitutability from risk aversion

30.  


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:

· Text Box:  Comparative statics and the Euler Equation

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· Text Box:  The Linear-Quadratic problem

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· Learning

 

· A two-period version of Krugman's model

 

· Notes on Krugman's model

 

· Marc Mangel's notes

 

· Larry Karp's "Depreciation erodes the Coase Conjecture", European Economic Review 40 : 473 - 490 (1996).

 

· Non-convex Control Problems

 

· Hyperbolic discounting

 

· Time, Risk, and Uncertainty

 

 

 

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:

Part 1: Basic Ideas of ODE's

Part 2: Calculus of Variations

Part 3: The Maximum Principle

Part 4: Uncertainty

Part 5: Dynamic Programming

Part 6: Two Schochastic Control Problems

Part 7: Limit Cycles in Intertemporal Adjustment Models

Part 8: "Nonconvex" Control Problems

Part 9:  Linear Control Problems

Part 10: Dynamic Games Reading List for Games