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1 author:
Rangarajan K. Sundaram
New York University
72 PUBLICATIONS 8,914 CITATIONS
SEE PROFILE
A FIRST COURSE
IN OPTIMIZATION THEORY
RANGARAJAN K. SUNDARAM
New York University
CAMBRIDGE
UNIVERSITY PRESS
Contents
Preface
Acknowledgements
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1 Mathematical Preliminaries
1.1 Notation and Preliminary Definitions
1.1.1 Integers, Rationals, Reals, M"
1.1.2 Inner Product, Norm, Metric
1.2 Sets and Sequences in W
1.2.1 Sequences and Limits
1.2.2 Subsequences and Limit Points
1.2.3 Cauchy Sequences and Completeness
1.2.4 Suprema, Infima, Maxima, Minima
1.2.5 Monotone^equences in R
1.2.6 The Lim Sup and Lim Inf
1.2.7 Open Balls, Open Sets, Closed Sets
1.2.8 Bounded Sets and Compact Sets
1.2.9 Convex Combinations and Convex Sets
1.2.10 Unions, Intersections, and Other Binary Operations
1.3 Matrices
1.3.1 Sum, Product, Transpose
1.3.2 Some Important Classes of Matrices
1.3.3 Rank of a Matrix
1.3.4 The Determinant
1.3.5 The Inverse
1.3.6 Calculating the Determinant
1.4 Functions
1.4.1 Continuous Functions
1.4.2 Differentiable and Continuously Differentiable Functions
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2 Optimization in R"
2.1 Optimization Problems in R"
2.2 Optimization Problems in Parametric Form
2.3 Optimization Problems: Some Examples
2.3.1 Utility Maximization
2.3.2 Expenditure Minimization
2.3.3 Profit Maximization
2.3.4 Cost Minimization
2.3.5 Consumption-Leisure Choice
2.3.6 Portfolio Choice
2.3.7 Identifying Pareto Optima
2.3.8 Optimal Provision of Public Goods
2.3.9 Optimal Commodity Taxation
2.4 Objectives of Optimization Theory
2.5 A Roadmap
2.6 Exercises
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4 Unconstrained Optima
4.1 "Unconstrained" Optima
4.2 First-Order Conditions
4.3 Second-Order Conditions
4.4 Using the First- and Second-Order Conditions
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4.5 A Proof of the First-Order Conditions
4.6 A Proof of the Second-Order Conditions
4.7 Exercises
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Bibliography
Index
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