Computational
Optimization
MATP 482/6610 and DSES 4780
Instructor: Kristin P. Bennett
Office:
Amos Eaton 329
Office Hours:
Tuesday 10:15-11:30 AM, Thursday 10:15-11:30 AM
Phone:
276-6899
Email:
bennek@rpi.edu
·
Syllabus.
·
Exams:
o
Table A.
·
Extra
credit for Midterm 2008 due in class 4/15.
·
Final Project:
·
Sample Exams:
·
Sample Takehome Final 2003 .
·
Homework:
·
TBD
·
Labs:
o
f.m.
o
golden.m.
o
f.m.
o
gradf.m.
o
hessf.m.
o
L.m.
o
gradL.m.
o
hessL.m.
·
Lab
4: 2/08/08 - in class/not turned in.
·
Lab
5: 2/12/08, due in class 2/16, or in Prof. Bennett’s box no later than
2/19.
o
f0.m.
o
gradf0.m.
o
hessf0.m.
·
Lab
6: 3/07/08, do in class. Not graded but you are responsible for material
covered.
o
f6.m.
·
Lab
7: 3/25/08, do in class. Write up due 3/28.
o
f7.m.
o
f7con.m.
·
Handouts/Extra Stuff:
o
makegradient.m Automatically generate a gradient file
in Matlab.
o
makehessian.m Automatically generate a Hessian file in
Matlab.
·
Class Slides:
Note that no guarantee is made that these slides directly correspond to what
was discussed in class. Frequently additional material will be discussed in
class beyond the material in the slides. Also not all of material on slides may
have been covered.
·
lecture 1 -- 1/15/08
Introduction.
·
lecture 2 -- 1/18/08 Golden section search.
·
lecture 3 -- 1/22/08
Convergence Rates. In class practice: Matlab Tutorial
·
lecture 4 -- 1/25/08
Mathematical programming fundamentals.
·
lecture 5-6 -- 1/29/08 Convexity and unconstrained
optimization .
·
lecture 7 -- 2/05/08 Newton’s method.
·
lecture 8 -- 2/08/08
Steepest descent.
·
lecture 9 -- 2/12/08
Steepest descent and linesearch algorithms.
·
lecture 10 -- 2/15/08
Conjugate gradient and termination criteria .
·
lecture 11 --
2/22/08 Quasi-Newton.
·
lecture 12 --
2/26/08 More on unconstrained
algorithms.
·
lecture 13 -- 2/29/08
Constrained Optimization - Linear Equality Case.
·
lecture 14 -- 3/4/08
Constrained Optimization - Linear Equality Case continued.
·
lecture
15 -- 3/18/08 Constrained
Optimization more KKT conditions
·
lecture 16 -- 3/25/08 Nonlinear Example + Using FMINCON
·
lecture
17 -- 3/25/08 Nonlinear Programs
with Linear Equality Constraints
·
lecture
18 -- 3/28/08 Nonlinear Programs
with Linear Inequality Constraints
·
lecture
19-a -- 4/01/08 Nonlinear Programs
with Linear Inequality Constraints - projection methods
·
lecture
19-b -- 4/01/08 Duality Theory
·
lecture 20 -- 4/05/08 Penalty Methods
·
lecture
21 -- 4/08/08 Augmented Lagrangian
·
lecture 22
-- 4/10/08 Sequential Quadratic
Programming
·
lecture 23
-- 4/15/08 Nonsmooth
Optimization
·
lecture
24 -- 4/22/08 Review
·
Matlab
Guides
Matlab
Tutorial http://www.math.ufl.edu/help/matlab-tutorial/matlab-tutorial.html
A Practical
Introduction to Matlab by Mark S. Gockenbach
Introduction to Matlab by Kafin Tseng
MATLAB Primer. by Kermit Sigmon
MATLAB
Online Reference Documentation provides direct hypertext links to specific
MATLAB function descriptions.
Interesting
and/or Relevant Links
The NEOS
Guide Optimization Tree at Argonne National Laboratory .
INFORMS Resoures
formlerly Michael Trick's Operations Research Page
.
Professor Mitchell's page has lots of good
links.
Professional
Societies:
o
American
Mathematical Society.
o
Institute
of Operations Research and the Management Sciences.
o
Society
for Industrial and Applied Math.
Floating Point Representation by
Michael L. Overton (26 pages; ps file)
NA Digest is a weekly e-zine containing a collection of articles on topics related
to numerical analysis and those who practice it.
Netlib is a extensive collection of information useful for those doing
scientific computing.
MathWorks Inc.:
Home page for Matlab.