Syllabus

Course Meeting Times

Lectures: 2 sessions / week, 1.5 hours / session

Recitations: 1 session / week, 1 hour / session

Description

This course introduces students to the fundamentals of nonlinear optimization theory and methods. Topics include unconstrained and constrained optimization, linear and quadratic programming, Lagrange and conic duality theory, interior-point algorithms and theory, Lagrangean relaxation, generalized programming, and semi-definite programming. Algorithmic methods used in the class include steepest descent, Newton’s method, conditional gradient and subgradient optimization, interior-point methods and penalty and barrier methods.

Required Text

Bertsekas, Dimitri P. Nonlinear Programming. 2nd ed. Athena Scientific Press, 1999. ISBN: 1886529000.

Bazaraa, Mokhtar S., Hanif D. Sherali, and C. M. Shetty. Nonlinear Programming: Theory and Algorithms. New York: John Wiley & Sons, 1993. ISBN: 0471557935.

Course Requirements

  1. Weekly Problem Sets (about 12).
  2. Midterm Examination (in-class, closed book).
  3. Final Examination (3-hour exam).
  4. Computer Exercises.

Grading

Grading will be based on the following:

ACTIVITY PERCENTAGE
Midterm Exam 25%
Final Exam 50%
Problem Sets 25%

Course Info

Learning Resource Types

theaters Lecture Videos
notes Lecture Notes