Lecture Notes

This is simply a collection of links and PDF files. If a link does not work, you may google it with the title of notes and the author name; and send me an email so that I can correct the link.

Table of Contents (hide)

1. Questions and Answers
2. Open Courses
3. Case Studies
4. Economics
5. Mathematics
1. 5.1 Analysis
2. 5.2 Numerical Computations
3. 5.3 Linear Albegra
6. Optimization
1. 6.1 Infinite Dimensional Optimization / Optimal Control
2. 6.2 Robust Optimization
3. 6.3 Stochastic
4. 6.4 DEA
7. Networks
8. Probability and Statistics
9. Financial Engineering

1. Questions and Answers

OR-Exchange! - questions and answers in operations research
Numerical Optimization Forum - Discussions for numerical optimization and software

2. Open Courses

OCW - MIT Open Course Ware
SEE - Stanford Engineering Everywhere
SoiT - Stanford on iTunes U

3. Case Studies

Cases - Harvard Business Publishing for Educators

4. Economics

Online economics textbooks - A collection of economics textbooks available over the Internet
WebEc - World Wide Web Resources in Economics

5. Mathematics

Topics in Mathematics

5.1 Analysis

(PDF) Mathematical Methods of Engineering Analysis --Erhan Cinlar and Robert J. Vanderbei
(PDF)(http://www-unix.oit.umass.edu/~gbs/mta/ LINK) Banach Spaces and Differential Calculus --Jerrold E. Marsden and Tudor S. Ratiu
(PDF) Methods of Applied Mathematics --Todd Arbogast and Jerry Bona
(LINK) Lecture Notes and Background Materials on Lebesgue Theory from a Hilbert and Banach Space Perspective, Including an Application to Fractal Image Compression -- Willard Miller
(LINK) Real Analysis and Probability Theory with Economic Applications --Efe Ok
(PDF) Lectures on Lipschitz Analysis --Juha Heinonen

5.2 Numerical Computations

(LINK) Structural Optimization (Notes on FEM)
Numerical Methods For Infinite Dimensional Optimization
(LINK) Numerical Optimal Control in Continuous Time Made Easy --Eric Nævdal
Includes some basics of Excel

5.3 Linear Albegra

Tests For Symmetric Positive Definite Matrix

Matrix Calculus

Wikipedia - Matrix calculus
Matrix calculus appendix from Introduction to Finite Element Methods book on University of Colorado at Boulder.
Matrix calculus Matrix Reference Manual , Imperial College London.
Matrix calculus appendix to Convex Optimization & Euclidean Distance Geometry by Jon Dattorro.
The Matrix Cookbook, with a derivatives chapter.
Matrix Differential Calculus with Applications in Statistics and Econometrics, by Jan R. Magnus and Heinz Neudecker.

6. Optimization

(LINK) Myths and Counterexamples in Mathematical Programming
(LINK) Efficient Methods in Optimisation
(LINK) Jean-Pierre Aubin
(LINK) Practical Optimization: A Gentle Introduction -- John W. Chinneck
(LINK) Algorithm Animations for Practical Optimization: A Gentle Introduction

6.1 Infinite Dimensional Optimization / Optimal Control

(PDF) Infinite Dimensional Optimization and Optimal Design -Martin Burger
(PDF)(LINK) Optimal Control --Peter Thompson
(PDF) An Introduction to Mathematical Optimal Control Theory --Lawrence C. Evans
(LINK) Control Training Site --Graduate Paris School on Control
(LINK) Lecture Notes on Control --Alberto Bressan

6.2 Robust Optimization

(LINK) Robust Optimization --Fernando Ordóñez

6.3 Stochastic

(PDF) An Introduction to Stochastic Differential Equations --Lawrence C. Evans
(LINK) Applied Optimal Control with emphasis on the control of jump-diffusion stochastic processes --Floyd B. Hanson
(PDF) Stochastic Optimal Control in Finance --H. Mete Soner
(LINK) Numerical Methods for SDE --David Cai

6.4 DEA

(LINK) An Introduction

7. Networks

(LINK) Networks, Crowds, and Markets: Reasoning About a Highly Connected World -- David Easley and Jon Kleinberg

8. Probability and Statistics

9. Financial Engineering

Bob Kohn's Math Finance Lecture Notes - Robert Kohn
Financial Modeling: Options, Swaps and Derivatives - André Jaun