MS&E 318/CME 338: Large-Scale Numerical Optimization

Description

The main algorithms and software for constrained optimization, emphasizing the sparse-matrix methods needed for their implementation. Iterative methods for linear equations and least squares. Interior methods. The simplex method. Basis factorization and updates. The reduced-gradient method, augmented Lagrangian methods, and SQP methods.

3 units, Spring (Michael Saunders), Grading basis ABCD/NP

Prerequisites: Basic numerical linear algebra, including LU, QR, and SVD factorizations, and an interest in MATLAB, sparse-matrix methods, and gradient-based algorithms for constrained optimization

Homework, etc

There will be 4 or 5 homework assignments and one somewhat more challenging project. MATLAB is used for computational exercises.

Grades will be assessed from the homework (60%) and project (40%). There is no mid-term or final exam.

There is no text book for the class. See ‘‘references’’ for background reading and a reminder of some of the sources out there. See ‘‘notes’’ for the topics to be covered in turn. Hardcopy of each set of notes will be handed out in class as we progress.

Location

Math Corner 380-380W
Mon Wed 3:00–4:20pm

First class: Mon March 28, 2016
Last class: Wed June 1, 2016

Auditors are welcome

Office hours

Instructor: Prof Saunders, Huang M03
Immediately after class, or most Mondays and Wednesdays after 6pm

Course assistants: