MAT 418E - Optimization

Course Objectives

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Course Description

Unconstrained optimization; conditions for local minima, structure and algorithmic properties of methods (descent methods, conjugate gradient method, Newton and quasi-Newton methods). Constrained optimization; linear programming, the simplex method, duality theory. Nonlinear programming; Lagrange multipliers, Kuhn-Tucker conditions. Nonlinear constrained optimization; quadratic programming, active set methods, multiplier and other penalty functions.