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

The notes below are initially from last year's class. They will be updated as we proceed through the spring quarter. Hard copies of the updated notes will be handed out in class.

  1. Overview

  2. Iterative Methods for Symmetric Ax = b

  3. Iterative Methods for Square and Rectangular Systems

  4. The Primal Simplex Method

  5. First-order methods for minimizing smooth functions

  6. First-order methods for minimizing non-smooth functions

  7. Interior-point methods

  8. MINOS Part 1 – the Reduced-Gradient Method

  9. Augmented Lagrangian Methods

  10. MINOS Part 2 – LCL Methods

  11. NPSOL and SNOPT – SQP Methods

Supplementary notes

  1. Basis Updates

  2. LUSOL – a Sparse Basis Package

  3. SNOPT Example Optimizations