Methods of Optimization

12 units · Graduate

Spring: 12 units An introduction to the theory and algorithms of linear and nonlinear programming with an emphasis on modern computational considerations. The simplex method and its variants, duality theory and sensitivity analysis. Large-scale linear programming. Optimality conditions for unconstrained nonlinear optimization. Newton's method, line searches, trust regions and convergence rates. Constrained problems, feasible-point methods, penalty and barrier methods, interior-point methods. (Three 50 minute lectures) Prerequisites: ( 21-236 Min. grade B or 21-356 Min. grade B or 21-456 Min. grade B) and ( 21-237 Min. grade B or 21-373 Min. grade B) Course Website: https://www.cmu.edu/math/undergrad/math-course-information.html