MATH 651 - Optimization Algorithms

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Design and analysis of algorithms for linear and non-linear optimization; first-order numerical methods for unconstrained optimization (line-search methods, steepest-descent method, trust-region method, conjugate-gradient method, quasi-Newton methods, methods for large scale problems); Newton’s method; numerical methods for linear programming (simplex methods, interior-point methods); numerical methods for constrained optimization (penalty, barrier, and augmented-Lagrangian methods, sequential quadratic programming method).
Prerequisite: Prerequisite: MATH 221, MATH 251, or consent of instructor. MATH 650 recommended.