CO 466/666 Syllabus (Fall 2021)

Week Dates topics Notes
Week 1 Sept. 8 Background; Optimization examples and applications Including summaries of background in: linear algebra; calculus; analysis
Week 2 Sept 13 - Sept 15 Introduction to unconstrained minimization Optimality conditions; first and second order models
Week 3 Sept. 20 - Sept. 22 Algorithms for unconstrained minimization First order algorithms, Newton type algorithms
Week 4 Sept. 27 - Sept. 29 Trust Region Methods Implementation, convergence results
Week 5 Jan 30 - Feb 3 Large scale unconstrained minimization Conjugate gradient methods, exploiting sparsity, role of convexity
Week 6 Oct. 4 - Oct. 6 Introduction to constrained minimization Various models, convexity
Week 7 Oct. 18 - Oct. 20 Optimality conditions Karush-Kuhn-Tucker, Lagrange multipliers
reading weak Oct. 11 - Oct. 15 Thanksgiving
Week 8 Oct. 25 - Oct. 27 Optimality and Duality First and second order optimality, fundamental importance of duality
Week 9 Nov. 1 - Nov. 3 Algorithms for constrained mimization Augmented Lagrangian, feasible directions
Week 10 Nov. 8 - Nov. 10 Interior-point methods For both linear and nonlinear programs
Week 11 Nov. 15 - Nov. 17 General penalty, barrier methods Convergence, implementation
Week 12 Nov. 22 - Nov. 24 Sequential quadratic programming methods Applications, Maratos effect
Week 13 Nov. 29 - Dec. 1 First order methods Alternating directions method of multipliers, general splitting methods, applications to hard discrete optimization problems

Prof. Henry Wolkowicz, Department of Combinatorics and Optimization, University of Waterloo, 200 University Ave. W., Waterloo, ON N2L 3G1,
CO 466/666 Course home page: https://www.math.uwaterloo.ca/~hwolkowi//henry/teaching/f21/666.f21/index.shtml; and Prof. home page: https://www.math.uwaterloo.ca/~hwolkowi//


, by Henry Wolkowicz