ApEc 8206
Dynamic Optimization

This course will develop an understanding of dynamic economic problems - both deterministic and stochastic - formulated using both discrete and continuous time. Students will become competent in the process of setting up and solving dynamic optimization problems, both analytically and numerically, and to understand the strengths and weaknesses of alternative methods.

Course Syllabus (pdf)

Excel Worksheets:

Fixed Horizon Inventory Management (xls)
This worksheet illustrates the solution of a simple fixed horizon, deterministic dynamic programming problem.

MATLAB Programs:

CompEcon Toolbox (zip) – with some files corrected
This zip file contains the CompEcon Toolbox available for download at http://www4.ncsu.edu/~pfackler/compecon/toolbox.html. A few files have been modified to eliminate minor coding errors.

Fixed Horizon Inventory Management (zip)
This MATLAB program illustrates the solution of a simple fixed horizon, deterministic dynamic programming problem.

Infinite Horizon Inventory Management (zip)
This MATLAB program illustrates the solution of a simple infinite horizon, deterministic dynamic programming problem.

Stochastic Inventory Management (zip)
This MATLAB program extends the infinite horizon inventory management to illustrate the solution of a stochastic dynamic programming problem.

Copper Mine Investment Model (zip)
This MATLAB program solves a discrete time version of an investment / disinvestment problem presented in Dixit and Pindyck (pp. 223-229).

Collocation Illustration (zip)
This MATLAB program illustrates the solution of a continuous state dynamic programming problem using the collocation method.

Assignments:

1K: Discrete State, Deterministic Dynamic Programming with EXCEL (pdf)

2K: Discrete State, Deterministic Dynamic Programming with MATLAB (pdf)

3K: Discrete State, Stochastic Dynamic Programming with MATLAB (pdf)

4K: Dynamic Programming Problem Formulation (pdf)