Continuous Optimization (3TU/LNMB course, TUD code WI4 207)

Aim of the course

This course deals with the fundamental principles for nonlinear optimization, convex analysis and duality theory.
Some state-of-the-art algorithms (polynomial-time algorithms based on the recent interior-point approach). More specifically we deal with the following topics. Elementary convex analysis, Lagrange functions and saddle points, Lagrange-dual and Wolfe-dual of a nonlinear problem and the Karush-Kuhn-Tucker  theorem. Classical methods for Nonlinear Optimization like the (reduced) gradient method and the Newton method. Structured nonlinear problems: hyperbolic, geometric, entropy and l_p optimization.  Interior-point methods for Linear Optimization (especially the very efficient primal-dual path-following methods) and Convex Nonlinear Optimization. We also deal with the modern topic Semidefinite Optimization, which has important applications in system and control theory and combinatorial optimization.

Coordination C. Roos (TUD, docent), G. Still (UT), ??? (TUE)

Time and place: Monday September 17 - December 3, 2007,  13:00 - 14:45
De Uithof, Buys Ballot Laboratory, room 107
N.B. No course on November 12!

Course material

• Course syllabus: is available (via download) during the course. Part I, Part II
• Literature:   C.Roos, T. Terlaky and J.P.Vial. Interior Point Methods for Linear Optimization. Springer, 2005.
  U. Faigle, W. Kern and G. Still. Algorithmic Principles of Mathematical Programming. Kluwer, 2002.  
• Course schedule: pdf
  

Downloadable sheets

• sheets week   1 Classical examples
• sheets week   2
• sheets week   3
• sheets week   4
• sheets week   5
• sheets week   6
• sheets week   7
• sheets week   8 (skipped!)
• sheets week   9
• sheets week 10
• sheets week 11
• sheets week 12

• Bonus exercise (pdf)

Examination: via exercises during the course (not in 2007)

Trial exam: (Dec. 4, 2006)

Written exam: Monday, December 17, 10:30 – 13:00, in the Alpha Room of the Educatorium, Leuvenlaan 19 .

                                    It will be an `open book'  exam! This means that the printed course notes and sheets may be used, but no handwritten results.

The Educatorium  is building no. 19 in De Uithof, located 5 minutes walking from the Buys Ballot Laboratory (building no.5 on the map).  

                                    To look at the map follow the above link and click on De Uithof in the bar above the map that then appears. 

Results of exam on December 17, 2007

Interesting links

• The optimization tree
• The Optimization Technology Centre
• Interactive demos of applied optimization problems
• GAMS modeling and optimization software
• The GAMS manual (pdf) (download)
• CONOPT solver User Manual (pdf) (download)
• Page for submission of your GAMS model to be solved via internet by CONOPT
• The NEOS Optimization server
• Informatie over de Torricelli punt van een driehoek (cf. opgaven 2.2 in het dictaat).

Mail me at c.roos@tudelft.nl

Tel.:      +31152782530

Home:   +31182640909

Mobile: +31651437660

Since February 07 2005: