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Department of Engineering
Dean:	Dr. Ármann Gylfason
Email:	ru@ru.is
Website:	http://www.ru.is/tvd
Teachers	View

MSc in Financial Engineering
Semesters:	4
Years:	2
ETCS:	120
About major	Fjármálaverkfræði er þverfagleg grein sem samþættir fjármálafræði við verkfræðilegar aðferðir, stærðfræðileg líkön, tölfræði, aðgerðagreiningu og hagnýta tölvunarfræði. Nám í fjármálaverkfræði hentar þeim sem hafa áhuga á t.d. áhættustýringu, afleiðuviðskiptum eða fjárstýringu. MSc námið er mótað að kröfum Verkfræðingafélags Íslands um fullnaðarmenntun í verkfræði.
Learning Outcomes	View
Education cycle	2

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	Mandatory course on major		Teaching language
	Optional course on major		Prerequisites for course

Vorönn/Spring 2024

Energy Financial Assessment

SE-833-FA2

ECTS 6

Engineering Optimization

T-423-ENOP

ECTS 6

Year

1. year

Semester

Spring 2024

Level of course

First cycle - Advanced / Second cycle - Introductory

Type of course

Elective

Prerequisites

T-101-STA1, Calculus I
T-211-LINA, Linear Algebra

Schedule

Taught every day for three weeks.

Lecturer

Slawomir Marcin Koziel

Content

Level of course: 3. Undergraduate, advanced / 4. Graduate, introductory.
Type of course: Elective.
Prerequisites:
1)Working knowledge of Matlab programming;
2) Calculus (elementary linear algebra, in particular, vector/matrix operations and linear systems; Basic knowledge of derivatives, including Taylor expansion).The course introduces the concept and methods of engineering optimization. Major topics discussed throughout the course are: formulation of unconstrained and constrained optimization problems, objective functions, classification of optimization methods, first- and second-order optimality conditions, gradient-based search methods, derivative-free optimization, stochastic search methods including multi-agent systems and evolutionary algorithms, multi-objective optimization, surrogate-based optimization with focus on space mapping, functional and physical surrogate modeling, design of experiments, model selection and validation, as well as solving real-world engineering optimization problems with interfacing of commercial simulators. The relevant material concerning Matlab programming as well as calculus in the scope necessary for the course will also be given.Reading material: Lecture slides provided by the teacher

Learning outcome - Objectives

Upon completing the course, the students should be able to:(1) Formulate engineering optimization problem, corresponding objective functions and constraints,(2) Select appropriate optimization/modeling methodology,(3) Implement basic optimization and modeling procedures as well as develop necessary Matlab code,(4) Solve problems using existing packages, in particular Matlab and Matlab’s Optimization Toolbox,(5) Visualize the optimization process and the results.

Course assessment

Grades are based exclusively on the assessment of the solutions to the practical exercises. Requirement regarding the solution format and other details will be given during the first lecture.

Reading material

No reading material found.

Teaching and learning activities

Language of instruction

English

Sleep

T-424-SLEE

ECTS 6

Decision Analysis for Management

T-603-AKVA

ECTS 6

Internship in Engineering I