CS5321 Numerical Optimization

Class: M7 M8 R6 at EECS 127 (Spring 2012)

Webpage: http://www.cs.nthu.edu.tw/~cherung/teaching/2012opt/2012 Spring CS5321.html

Instructor: Che-Rung Lee

TA: 高魁良

Office hours: Thursday 10:00-11:00

Reference books

  1. Numerical optimization, Jorge Nocedal and Stephen J. Wright (http://www.mcs.anl.gov/otc/Guide)
  2. Mathematical Optimization, http://www.phy.ornl.gov/csep/CSEP/MO/MO.html
  3. Linear and Nonlinear Programming, Stephen G. Nash and Ariela Sofer (1996, 2005)
  4. Numerical Methods for Unconstrained Optimization and Nonlinear Equations, J. Dennis and R. Schnabel

Announcement

Lecture:

  1. One-dimensional optimization
  2. Multivariable unconstrained optimization
    1. Newton's Methods
    2. Methods that guarantee convergence: line search and trust region
    3. Quasi-Newton and conjugate gradient methods Prof. O'Leary's note on CG
    4. Least square problems
  3. Multivariable constrained optimization
    1. Linear programmings
    2. Theory of constrained optimization problems Rudi Pendavingh's note on Farkas's Lemma
    3. Quadratic programming, Active set method, and SQP
    4. Penality method and interior point method
    5. Filter method
  4. Global optimization

Course requirements