Optimization 1

Numerical Methods for Unconstrained Optimization

Syllabus

  1. Vector Analysis Review
  2. Convex Analysis Review
  3. Optimality Conditions for Unconstrained Optimization
  4. Necessary Optimality Conditions
  5. Sufficient Optimality Conditions
  6. Numerical Methods for Unconstrained Optimization
  7. Descent Methods
  8. Newton’s Method
  9. Newton-Type and Inexact Newton Methods
  10. Quasi-Newton Methods
  11. Trust-Region Methods

References

  1. Iterative Methods for Optimization, CT Kelley, SIAM, 1999
  2. Numerical Optimization, Nocedal J. Springer, 2009
  3. Optimization Theory and Methods, W. Sun and Y. X. Yuan, Springer, 2006

Class Material

  1. Exercise Sheet 1
  2. Exercise Sheet 2
  3. GitHub Source Code Repository
  4. Project Description
  5. Exercise Sheet 3
  6. Exercise Sheet 4
  7. Lecture Notes