NONLINEAR OPTIMIZATION II

COMPSCI/ISYE/MATH/STAT 726

Theory and algorithms for nonlinear optimization, focusing on unconstrained optimization. Line-search and trust-region methods; quasi-Newton methods; conjugate-gradient and limited-memory methods for large-scale problems; derivative-free optimization; algorithms for least-squares problems and nonlinear equations; gradient projection algorithms for bound-constrained problems; and simple penalty methods for nonlinearly constrained optimization. Students are strongly encouraged to have knowledge of linear algebra and familiarity with basic mathematical analysis.

COMPSCI/ISYE 526

Review of linear programming. Polynomial time methods for linear programming. Quadratic programs and linear complementarity problems and related solution techniques. Solution sets and their continuity properties. Error bounds for linear inequalities and programs. Parallel algorithms for linear and quadratic programs.

COMPSCI/ECE/ISYE 524

Introduction to mathematical optimization from a modeling and solution perspective. Formulation of applications as discrete and continuous optimization problems and equilibrium models. Survey and appropriate usage of basic algorithms, data and software tools, including modeling languages and subroutine libraries.

MATH 345

Introduction to linear algebra, differential calculus in several variables, and basic optimization theory with applications to data science and related topics. Vectors, analytic geometry, matrices, linear functions, linear independence, orthogonality, inverses, partial derivatives and gradients, Taylor approximation, gradient descent, Lagrange multipliers, clustering, regression, classification. Implementation in Python.

COMPSCI/ISYE/MATH/STAT 525

Introduces optimization problems whose constraints are expressed by linear inequalities. Develops geometric and algebraic insights into the structure of the problem, with an emphasis on formal proofs. Presents the theory behind the simplex method, the main algorithm used to solve linear optimization problems. Explores duality theory and theorems of the alternatives.