Continuous Optimization

Credits	6 credit points
Instructors	Roos, C. (Technische Universiteit Delft)
E-mail	c.roos@ewi.tudelft.nl
Aim	This course introduces students to the fundamental notions and methods in nonlinear continuous optimization (also called nonlinear programming), with a special emphasis on recognizing and solving convex optimization problems.
Description	Introduction: Convex sets, convex cones, convex functions. Minimization of convex functions (unconstrained), self-concordant barriers, Newton-method. Constrained convex minimization problems: Convex Farkas' lemma and Lagrangian Duality. Lagrangian function, saddle point. Optimally conditions and classical methods for solving nonlinear optimization problems. Interior point methods for convex optimization: Linear-, convex quadratic- and semidefinite optimization problems as cone optimization problems. Interior point methods for cone optimization. Special topic (e.g., applications).
Organization	Courses start September 18, 2006 and end December 4, 2006. There will be 12 meetings of two hours + home work.
Examination	Take home problems and a written or oral examination.
Literature	Lecture notes "Nonlinear Optimization". Reading material (not required): - "Interior Point Methods for Linear Optimization" by C. Roos, T. Terlaky and J.P. Vial; - "Algorithmic Principles of Mathematical Programming" by U. Faigle, W. Kern and G. Still.
Prerequisites	Basic knowledge of linear algebra and analysis, including multivariate functions.
Remarks	Course page with study material: http://www.isa.ewi.tudelft.nl/~roos/courses/WI4207%20Continuous%20Optimization%203TU/index_2006.html

Last changed: 18-01-2012 10:21