Spring 2010
Nonlinear Optimization (52879)
Benjamin Yakir
Tuesdays 10:30-12:15, Soc. 3202
Contact Info:
Announcements
The final exam will take place on June 30, at 12:00. Moed B will take place on August 3rd, 10:00. Good luck!
You will have a opportunity to ask questions before the exam when we meet June 27, at 16:00.
Course Topics
- Basic properties of solutions and algorithms.
- Introduction to R.
- Line search.
- Basic properties of unconstraint solutions.
- Steepest decent.
- Newtonian and quasi-Newtonian algorithms.
- Basic properties of constraint solutions.
- Lagrangian methods.
- Sequential quadratic programming.
- Optimization in statistics.
Requirements
- You are required to read the relevant bibliography before class. Instructions regarding the required reading for each class are given below.
- Homework assignments will be handed during class. It is recommended that you try to address the assignments before class. Solutions to the assignments will be discussed in class and/or given on the web. It is required that you to go over the solutions and understand them.
- Two take-home assignments will be given during the semester. At the end of the course there will be a final exam. Each one of the midterm assignments will determine 20% of the final score. The final exam will determine 60% of the score. Take-home assignment can be submitted in pairs.
Bibliography
- Syllabus (doc)
- Class Notes by myself but are influenced and use extensively the book
- ``Linear and Nonlinear Programming" by D.G. Luenberger.
- R for Beginners by Emmanuel Paradis.
- Solutions to some homework problems.
- R code that was used in class.
Reading
- For the class of 23-02-10: Read Chapter 1.
- For the class of 2-03-10: Do the homework of Chapter 1 and read Chapter 2.
- For the class of 9-03-10: Do the homework of Chapter 2 and read Chapter 3.
- For the class of 16-03-10: Do the homework of Chapter 3 and read Chapter 4.
- For the class of 23-03-10: Do the homework of Chapter 4 and read Chapter 5.
- For the class of 27-04-10: Do the homework of Chapter 5 and read Chapter 6.
- For the class of 4-05-10: Do the homework of Chapter 5 and read Chapter 6.
- For the class of 11-05-10: Do the homework of Chapter 6 and read Chapter 7.
- For the class of 25-05-10: Submit Project 1 and read Chapter 7.
- For the class of 1-06-10: Do the homework of Chapter 7 and read Chapter 8.
- For the class of 8-06-10: Do the homework of Chapter 8 and read Chapter 9.
Assignments
Useful Links