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'math+econ+code' masterclass
linear programming 
and economic applications, part II

August 22-24, 2023

This intensive course, first part of the ‘math+econ+code’ series, is focused on linear programming and economic applications, and will include intermediate linear programming (interior point methods, large scale methods), and application to econometrics (quantile regression). It will introduce tools from economics, mathematics, econometrics and computing, on a needs basis, without any particular prerequisite other than the equivalent of a first year graduate sequence in econ or in applied math.
Because it aims at providing a bridge between theory and practice, the teaching format is somewhat unusual: each teaching “block” will be made of a mix of theory and coding (in Python), based on an empirical application related to the theory just seen. Students will have the opportunity to write their own code, which is expected to be operational at the end of each block. This course is therefore closer to cooking lessons than to traditional lectures.


Practical information

  • The course will be taught over three consecutive days, August 22-24 2023, 4pm-6pm Paris time / 10am-12am New York time. 

  • The instructor is Alfred Galichon (professor of economics and of mathematics at NYU and principal investigator of the ERC-funded project 'equiprice' at Sciences Po). 

  • Applications are now closed

Course outline

Day 1: Interior point methods

  • Logarithmic barrier

  • Primal-dual interior point method

Day 2: Quantile regression 

  • Notions of rank and quantiles

  • Classical quantile regression

  • Vector quantile regression

Day 3: Large scale methods

  • Column generation

  • Dantzig-Wolfe


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