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:

·         Takehome Midterm 2008 due in class 3/7 - Late policy is -5% after 9 a.m. 3/7, and -20% on Monday 3/10. No late exams accepted after 3/10.

o    newtonexact2.m.

o    Table A.

·         Extra credit for Midterm 2008 due in class 4/15.

·  Final Project:

·         Final project details.

·  Sample Exams:

·         Sample Midterm 2003

·         Sample Takehome Final 2003 .

·  Homework:

·         TBD

·  Labs:

·         Lab 1: 1/1/08.

o    f.m.

o    golden.m.

·         Lab 2: 1/29/08.

·         Lab 3: 2/05/08.

o    f.m.

o    gradf.m.

o    hessf.m.

o    L.m.

o    gradL.m.

o    hessL.m.

o    plainnewton.m.

·         Lab 4: 2/08/08 - in class/not turned in.

o    newtonexact.m.

·         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.

o    Answers for first table

·         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.


RPI Math Home Page