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Numerical Optimization

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.