Optimisation Theory LSE

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  • Introduction and review of relevant parts from real analysis, with emphasis on higher dimensions.
  • Weierstrass’ Theorem on continuous functions on compact sets.
  • Review with added rigour of unconstrained optimization of differentiable functions.
  • Lagrange’s Theorem on equality-constrained optimization.
  • The Kuhn-Tucker Theorem on inequality-constrained optimization.
  • Finite and infinite horizon dynamic programming.

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