Primeiro semestre de 2015 Disciplina: Otimização Dinâmica Prof. Dr. Armando Vaz Sampaio Quarta-Feira 14:00 18:00 horas

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1 Ministério da Educação Universidade Federal do Paraná Departamento de Economia PPGDE - Programa de Pós-Graduação em Desenvolvimento Econômico Mestrado Doutorado Primeiro semestre de 2015 Disciplina: Otimização Dinâmica Prof. Dr. Armando Vaz Sampaio Quarta-Feira 14:00 18:00 horas Programa da Disciplina: OBJETIVO: Analisar os fenômenos econômicos na sua forma dinâmica, enfatizando a tomada de decisão intertemporal. CONTEÚDO Técnicas de Otimização intertemporal: Cálculo de variação, Teoria do controle ótimo e Programação Dinâmica. PROGRAMAÇÃO 1) Cálculo de Variação 1.1) Introdução 1.2) A equação de Euler 1.3) Condições Finais gerais 1.4) Generalização 2) Teoria do Controle Ótimo: Técnicas Básicas 2.1) Introdução 2.2) Condições de regularidade 2.3) O problema padrão 2.4) O Principio de Máximo e a Cálculo de Variação 2.5) Variáveis Adjuntas 2.6) Condições Suficientes 2.7) Tempo Final Variável 2.8) Formulação do valor corrente 2.9) Horizonte Infinito 2.10) Diagrama de fase 3) Teoria do Controle ótimo com várias variáveis 3.1) Várias varáveis de controle e de estado 3.2) Exemplo 3.3) Horizonte infinito 3.4) Um prova heurística do Principio de Máximo 3.5) Restrições Mistas 3.6) Generalização 4) Otimização Dinâmica com tempo discreto 4.1) Programação Dinâmica 4.2) A equação de Euler 4.3) Horizonte Infinito

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5 STACHURSKI, J. Economic Dynamics Theory and Computation. MIT Press, 2009, 365pp. Aplicações: ALTUG, S., CHADHA, J.S., NOLAN, C. (Org.) Dynamic Macroeconomic Analysis Theory and Policy in General Equilibrium. Cambridge University Press, 2003, 582pp. BARRO, R. J. e SALA-I-MARTIN, Economic Growth, The MIT Press, pp. COOLEY, T. (Org) Frontiers of Business Cycle Research. Princeton University Press, 1995, 418pp. GRANDVILLE, O. Economic Growth A unified Approach. Cambridge University Press. 2009, 361pp. LJUNGQVIST, L. e SARGENT, T. Recursive Macroeconomic Theory, The MIT Press, 1ª Ed. 2000, 739pp. McCANDLESS, G. The ABCs of RBCs An Introduction to Dynamic Macroeconomics Models. Harvard University Press, 2008, 421pp.. OBSTFELD, M. e ROGOFF, K. Foundation of International Macroeconomics. The MIT Press, 1996, 802pp. SARGENT, T. The Conquest of American Inflation. Princeton University Press, 2001, 168pp. WICKENS, M. Macroeconomic Theory A Dynamic General Equilibrium Approach. MIT Press, 2008, 477pp. Avaliação: Prova: 40% ; Exercícios: 20% ; Artigos: 40% 5