Comp Math 310, Part B: Optimization
Stat 310: Computational Math and Optimization II: Simulation and Optimization
First Lecture: Feb 9, 2010. Last lecture: Mar 11, 2010.
Office Hours: Tue-Thu 3-5 pm, Eckhart 120A, or by appointment.
Homework 2, due 02/25/2010.
Homework 3, due 03/04/2010.
- Homework 1, due 02/18/2010.
Homework 4, due 03/11/2010.
Homework 5, due 03/17/2010
- To install intval: Download it in a directory over which you have read write access. Unpack the archive (for example, by using gzip -d filename.tar.gz followed by tar -xvf filename.tar). Add the directory and all subdirectories to your matlab path. Simplest thing is to do, from the matlab interface: File->Set Path->add with subfolders then browse until you find the directory where intval was unpacked. I would restart Matlab, though that is not necessary. First time around, intval runs an installation/demo routine which takes a while to run, but second time around matlab start should be fast, while allowing you to see the intval demo movie.
- Textbook: Nocedal and Wright, "Numerical Optimization", Springer, 2006. Available online for free for members of the University of Chicago Community.
- Dimitris Bertsimas' Optimization Course at MIT .
- Dimitri Bertsekas' Convex Analysis and Optimization Course at MIT
- Dimitri Bertsekas' Nonlinear Programming Course at MIT
- Harvey Greenberg's Myths and Counterexamples in Mathematical Programming page on the INFORMS site.
- The Matlab Exchange: A large set of free Matlab Programs contributed by Matlab Users. I start here many times when designing and developing a new project
- The Matlab Documentation page, (downloadable pdf).
- Tim Kelley's collection of Matlab Programs for Optimization..
- LSTRS, a Matlab large-scale trust-region algorithm implementation.
- The AMPL modeling language web site.
What I assume is known by the students.
- Multivariate calculus.
- First-order necessary optimality conditions for unconstrained optimization.
- Linear algebra. Positive definite and semidefinite symmetric matrices, eigenvalues.
- Beginner Matlab.