Numerical Optimization is the study of maximizing or minimizing functions
through numerical techniques. The course title is pretty weird, since it's rare
to optimize anything other than through numerical techniques (unless of course
you're talking about something really simple). Generally, we give it this name
to differentiate it from courses in theory or more specific single topic
courses (like Linear Programming). Since many people taking this course will
not have had a course in the theory of optimization, we'll cover some theory
too. However, we'll be focusing on algorithms.

Numerical optimization is used every day and is built on techniques from multi-variable calculus, optimization theory (obviously) numerical linear algebra (for algorithm efficiency) and other branches of mathematics.

Class Notes (Raw Source)-- A
collection of notes covering (almost) everything we will studied in class. We
also covered sequential quadratic programming and penalty methods, but due to
time constraints I used hand-written notes. I am slowly converting these notes
as well as text on barrier methods and interior point methods into LaTeX. These
will be released as time permits. If Maple isn't your thing, I also have a set
of C++ code for the notes as well. E-mail me if you want a copy. (Use all code
at your own risk!)

If you find a typo, please send me an e-mail so I can fix it. The notes should be used with a book. We used Numerical Optimization by Nocedal and Wright. Notes and code are released under a Creative Commons Share-and-Share-Alike License.

If you want to contact me by anonymous e-mail, follow this link.

If you’re thinking of taking Numerical Optimization with
me, you are welcome to e-mail me and ask anything you like. I’ll also
share past teaching evaluations (from other classes) if you want to know what
past students thought of me.

I try to mix the theory, algorithms and applications into the
class. This is a graduate course in Math, therefore, you will be expected to do
some proofs. On the other hand, this is applied math, so you should learn to do
something useful too.

Group work is encouraged on everything.