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Numerical Optimization

Numerical Optimization

Self-study course in Fall 2015 and Spring 2016

 

This is a course based on the book Numerical Optimization by Jorge Nocedal and Stephen J. Wright. The book is available online for Lund University at http://link.springer.com/book/10.1007/978-0-387-40065-5. The course format is to meet once every week and discuss the content of the book.

The LTH undergraduate course on optimization covers a lot of related material. In particular, Lectures 8-12 have more details on optimality conditions and duality for constrained optimization problems than Nocedal & Wright cover in Chapter 12.

Andrey Ghulchak and Fredrik Magnusson are responsible for the course.

Meetings

Each meeting consists of two parts. In the first part, a designated course participant presents the material from one part of the book (typically a chapter). The presentation should last roughly 30 minutes. The last part of the presentation is to present exercises that all course participants will work on until the next meeting. This is the second part of the meeting, where everyone discusses the exercises chosen at the previous meeting.

Exercises

The presenter for each week chooses a suitable amount of exercises (roughly 3-4) together with Andrey for the material that they present. The exercises can be taken straight from the relevant chapter(s) of the book, or taken from elsewhere, or self-designed. The chosen exercises should be a suitable mix of theory and practice.

All course participants will then attempt to solve these exercises until the meeting of the next week, where the exercises will be discussed. After that meeting, all course participants will individually write complete solutions for the problems and hand in to Andrey before the succeeding meeting (that is, 2 weeks after the announcement of the exercises).

Schedule

We will meet every week on Fridays 13:15-15:00, except for the three final lectures, which instead are 10:15-12:00, in the Deparment of Automatic Control's Seminar Room, M2112:B, which is located in the M building on the second floor, next to the southwestern staircase. The first meeting is October 23rd. The course will probably finish in February or March 2016.

Below is a preliminary schedule. The first two chapters will be complete self-study.

DateSpeakerChaptersExercises for Next Meeting
Before October 23Self-study1, 2N/A
October 23Fredrik M32.3 (also consider non-symmetric A), 2.7, 3.1, 3.3, 3.9
October 30 November 10Jacob A44.2, 4.3, 4.4, 4.9
November 6Gabriel I5See final slide
November 13Vladimir P6See e-mail
November 20Ted K77.1,7.5
November 27Johan S8, 9See final slide
December 4Filip E10See final slide
December 11Unn D11Choose 3: 11.2, 11.3, 11.5, 11.10
December 18Gabriel I1212.1, 12.6, 12.11, 12.15
January 8Unn D1414.1, 14.5, 14.8
January 15Vladimir P1515.3, 15.4, 15.8
January 22Johan S1616.2, 16.11
January 29 10:15-12:00Filip E1717.1, 17.5, 17.9
February 5 10:15-12:00Fredrik M18See final slide
February 12 10:15-12:00Ted K1919.1ab, 19.7, 19.12

 

Examination

The course will preliminarily give 7.5 hp/ECTS credits. To be eligible for these credits, you should do the following:

  1. Present two topics during the weekly meetings.
  2. Participate in most of the weekly meetings.
  3. Hand in solutions to Andrey for the weekly exercises no later than 2 weeks after the exercises have been presented, or equivalently, 1 week after the exercises have been discussed. For example, the exercises for Chapter 3 should be handed in by November 6.

 

Exceptions to these requirements should be discussed with Andrey.

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