Nonlinear Optimization, Summer 2004

Nonlinear Optimization

Summer Term 2004

Lecturer: C. Helmberg

Time:	Tue 9:15 - 10:45, Room 2/B202
	Wed 11:30 - 13:00, Room 2/B202
	(includes exercises)

Overview

Content:	We discuss basic algorithmic approaches for solving smooth nonlinear optimization problems. Aspects of interest are convergence rate, computational efficiency and numerical behavior. Unconstrained Optimization: Newton and quasi-Newton methods, line search, trust regions, conjugate gradients, approximate and automatic differentation Constrained Optimization: Lagrange multipliers, quadratic programming, penalty, barrier and augmented Lagrangian methods, sequential quadratic programming.
Audience:	obl.: WMM6 wob.: MMM6/8, IMM6/8, TMM6/8, MPM
Requirements:	Linear Algebra, Analysis

Literature

J. Nocedal, S.J. Wright; Numerical Optimization, Springer 1999;
Bazaraa, Sherali, Shetty; Nonlinear Programming: Theory and Algorithms, Wiley, 1993
Luenberger; Linear and Nonlinear Programming, Addison-Wesley, 1984

Exercises

Exercises 1 (.pdf)
Exercises 2 (.pdf)
Exercises 3 (.pdf)
Exercises 4 (.pdf), 4.5.2004 correction in ex. 1
Exercises 5 (.pdf)
Exercises 6 (.pdf), 16.6.2004 correction in ex. 4

Letzte Änderung: 31.03.04, 19:00