This course aims to introduce students to the theory, algorithms, and applications of optimization. The optimization methodologies include linear programming, nonlinear optimization, integer programming, robust optimization, and dynamic programming. Topics include the simplex method, duality, integer programming formulation, convex analysis, optimality conditions for nonlinear optimization, and optimal control methods.  Applications to finance will be emphasized.

Continuous Assessment: 40%

Examination: 60%

Examination Duration: 2 hours