John Bagterp Jørgensen
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02612 Constrained Optimization

02612 Constrained Optimization is given in the spring semester every tuesday, 13:00-17:00.

References and Books

  • Jorge Nocedal & Stephen J. Wright: Numerical Optimization, Springer, 2nd Edition, 2006

  • Stephen Boyd & Lieven Vandenberghe: Convex Optimization, Cambridge University Press, 2004

  • Giuseppe Calafiore & Laurent El Ghaoui: Optimization Models, Cambridge University Press, 2014

  • Gerard Cornuejols & Reha Tütüncü: Optimization Methods in Finance, Cambridge University Press, 2006

Lectures

Lecture 01 - Introduction to Constrained Optimization

Lecture 02 - Theory of Constrained Optimization - Optimality Conditions

Lecture 03 - Theory of Constrained Optimization - Sensitivity

Lecture 04 - Optimization Algorithms

Lecture 05 - Quadratic Programming (QP) - Active Set Algorithms

Lecture 06 - Quadratic Programming (QP) - Interior Point Algorithms

Lecture 07 - Linear Programming (LP)- Active Set Algorithms

Lecture 08 - Linear Programming (LP) - Interior Point Algorithms

Lecture 09 - Sequential Quadratic Programming (SQP) Algorithms

Lecture 10 - Sequential Quadratic Programming (SQP) Algorithms

Lecture 11 - Penalty and Augmented Lagrangian Methods & Interior Point Algorithms for Nonlinear Programming

Lecture 12 - Conic Optimization - Second Order Cone Programming (SOCP) and Semi-Definite Programming (SDP)

Lecture 13 - Applications of Constrained Optimization

Assignments

Assignment 1 - Optimility Conditions, KKT Systems, and QP Algorithms

Assignment 2 - LP Algorithms, SQP algorithms, and solution of NLPs