CS5321 Numerical Optimization

Class: M7 M8 R6 at EECS 127 (Spring 2011)

Instructor: Che-Rung Lee

Office hours: Wednesday 10:00-12:00

Reference books

1. Numerical optimization, Jorge Nocedal and Stephen J. Wright (http://www.mcs.anl.gov/otc/Guide)
2. Afternotes on Numerical Analysis, G.W. Stewart link
3. Mathematical Optimization, MO
4. Linear and Nonlinear Programming, Stephen G. Nash and Ariela Sofer (1996, 2005)
5. Numerical Methods for Unconstrained Optimization and Nonlinear Equations, J. Dennis and R. Schnabel
6. Iterative Methods for Optimization by C. T. Kelley Matlab code
7. 2010/2/23: Matlab tutorial link is posed.

Previous class links

• 2010
• 2009

Prerequisites: Caculus and Linear Algebra

Announcement

Here is method that you can get the extra credits for your midterm.

• Find typos and errors in the online handouts.
• If there are n students reporting the same error, each student gets max(1/8,1/n) points.
• There is a maximum point limit for each range of midterm grade.
  • If your midterm grade is less than or equal to 60, the max you can get is 70.
  • If your midterm grade in between 61 to 70, the max you can get is 80.
  • If your midterm grade in between 71 to 80, the max you can get is 85.
  • If your midterm grade in between 81 to 90, the max you can get is 88.
  • No extra credit will be given for above 90. Only my sincere appreciation.

Lecture:

1. One-dimensional optimization handout
2. Multivariable optimization handout
3. Methods that guarantee convergence handout
4. Quasi-Newton and conjugate gradient methods handout
5. Least square problems handout
6. Linear programmings handout
7. Constrained optimization problems handout
8. Quadratic programming, Active set method, and SQP handout
9. Penality method and interior point method handout
10. Filter method handout

Course requirements

• Homework (40%)
  • Homework 1 due 3/10 (partial answer)
  • Homework 2 due 3/24 (partial answer)
  • Homework 3 due 4/11 (partial answer)
  • Homework 4 due 4/25 (partial answer)
  • Homework 5 due 5/09 (partial answer)
• Midterm (30%) (May 16, 2011) (partial answer)
• Project Schedule(30%)

Last update: 2011/5/25