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UC Berkeley |
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Requirements for a grade in the course (including P/NP): - Problem sets (approximately 6-8 of these) and final exam. - You can work on
problem sets in groups no larger than 3. Office Hours:
Larry Karp: Fridays 9-10am, or by appointment, 330 Giannini Hall.
Summary of lectures (Final)
Chapter 1 (Basics of dynamic optimization) 9/9/2010 Chapter 2 (Taxes Vs Quota and the LQ problem) 9/15/2010 Chapter 3 (Reactions to risk) 9/15/2010 Chapter 4 (Anticipated learning, 2 periods) 9/15/2010 Chapter 5 (Anticipated learning, multiperiod) 9/15/2010 Chapter 6 (Basics of continuous time dynamics) 10/11/2010 Chapter 7 (The Maximum Principle) 10/05/2010 Chapter 8 (DPE in continous time) 11/01/2010 Chapter 9 (Event uncertainty) 10/05/2010 Chapter 10
(Stochastic Control) 11/02/2010 Chapter 12 (Discounting) 11/08/2010 Chapter 13 (Time Inconsistency) 11/18/2010 Chapter 14
(Disentangling Risk Aversion from Intertemporal Substitutability) Chapter 15 (Ambiguity) 12/01/2010
Problem sets and solutions Problem set # 1, due September 7:
Problem set #2, due September 16:
Problem set # 3: Due November 2
Problem set # 4: Due November 11. The files Predator Prey and Prey are matlab files that you can use to answer the first question in the problem set. To answer one problem you will probably have to read the Appendix "units".
Problem set # 5: Due November 25. The problem asks you to solve a simple linear quadratic stochastic control problem in continuous time, similar to the one we analyzed in class.
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Material below this line has not been edited for 2010
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.
Larry Karp: Fridays 9-10am or by appointment, 206 Giannini Hall Class Notes: · Comparative statics and the Euler Equation · The Linear-Quadratic problem · Learning · A two-period version of Krugman's model · Larry Karp's "Depreciation erodes the Coase Conjecture", European Economic Review 40 : 473 - 490 (1996).
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
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ARE 263Methods of Dynamic Analysis and Control |
