MW 9:00am - 10:20am
IND E 515 B, MATH 515 B, AMATH 515 B, IND E 515 A, MATH 515 A
Maximization and minimization of functions of finitely many variables subject to constraints. Basic problem types and examples of applications; linear, convex, smooth, and nonsmooth programming. Optimality conditions. Saddlepoints and dual problems. Penalties, decomposition. Overview of computational approaches. Prerequisite: Proficiency in linear algebra and advanced calculus/analysis; recommended: Strongly recommended: probability and statistics. Desirable: optimization, e.g. Math 408, and scientific programming experience in Matlab, Julia or Python. Offered: jointly with IND E 515/MATH 515.
January 4, 2022 - 10:12am