Syllabus for
This course provides an introductory treatment of topics in
Nonlinear Optimization. This includes a
hands-on approach with exposure to user friendly existing software packages.
(see
CVX)
Lectures start Monday Jan 5 and end Monday Apr. 6, 2015.
Midterm EXAM: Wed. Feb. 11, 6:30-7:50pm in MC4060
Final EXAM: TBA
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Introduction to Nonlinear Optimization
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Notation and general formalism
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Preliminary calculus results
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Unconstrained Optimization Cont...
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Preliminary calculus and linear algebra results
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Optimality conditions
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Convex functions
- Characterizations, critical points
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Algorithms for unconstrained optimization
descent methods, Newton type methods
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Least Squares
- linear least squares, nondifferentiability
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Underdetermined linear systems
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Karush-Kuhn-Tucker optimality conditions
- constraint qualifications
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Lagrangians and Optimality Conditions and Duality
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Applications
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Algorithms for Unconstrained Optimization
- penalty and augmented Lagrangian methods
Links
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