The underlying technology is presented. This course introduces linear programs and related solution algorithms. Several major elements are presented. First, we study the representation of real-world decision problems as mathematical programs. This model structure has been the object of intensive study since George Dantzig invented the simplex method in 1947.
Linear programs apply to business, engineering, economics and many other domains.
To pose a linear program in an effective manner, we employ the AMPL modeling language. The language greatly reduces the effort of constructing, solving and revising a planning model. This course surveys central topics in the area of financial engineering and financial optimization. Emphasis placed on single and multi-stage stochastic planning models. Modeling goals within the ALM framework.