Math 4420/5420 - Optimization - Spring 2017
Dr. Radu C. Cascaval

Home

Syllabus

Assignments

Exam Info

MATLAB

Links

Course Description

The lectures will introduce topics in optimization such as: unconstraint optimization (line search methods, trust region methods, conjugate gradient methods, quasi-newton methods, derivative free optimization, least square problems) constraint optimization, linearprogramming, overview of computational approaches, calculus of variations and elements of optimal control.

Textbook

(Required) Numerical Optimization, by Jorge Nocedal and Stephen J. Wright. Springer 2006, second edition

FREE PDF download (chapter by chapter) for members of the UCCS community
http://www.springerlink.com/content/978-0-387-30303-1
and/or purchase a papercopy from Springerlink for $24.95 (no tax, free shipping) - same link as above (just click on "Buy a print copy for $24.95" link and follow the instructions.

Additional resources I will be using in the course (not required) are

- Introduction to Optimization, by Pablo Pedregal, Springer 2004 (again, free PDF download chapter by chapter for UCCS community http://www.springerlink.com/content/978-0-387-40398-4/ (You need to be authenticated on the UCCS campus network). I don't believe you can purchase a papercopy from Springerlink.

- An Introduction to Optimization, by E. Chong & S. Zak, 3rd edition, Wiley 2008

- Practical Methods of Optimization, by R. Fletcher, 2nd edition, Wiley, 1987

- Iterative Methods for Optimization, by C.T. Kelley, SIAM (free PDF dowload, http://www.siam.org/books/kelley/fr18/index.php)

Homework:

Each section covered in the textbook has a list of assigned problems. You are required to turn in (once a week, usually Wednesdays unless otherwise specified) the problems assigned for the sections covered in class. For a up-to-the-minute schedule of the assignments, always consult the course website. Many HMW will have a computational component.

Grading and Atendance:

The course grade will be based on the cumulative score from homework assignments (each worth 10 points), the midterm (worth 100 pts), and the final exam, worth 150 pts.

To make the most of your class, you are expected to attend every class session. Attendance will be taken on random days.You should notify (in advance) the instructor if you need to miss more than one session. Supporting documentation may be required. Students who accumulate more than two undocumented absences between exam dates may not be allowed to sit in the following exam. Although attendance and participation do not formally enter the grade, they will be taken into account every time one's score falls close to the cut-off value for a particular letter grade. At the same time you may be assured that if your score is at least 90% (or 80%,70%), then your letter grade will be at least A (or B, C respectively).

Exams

Midterm: Wednesday, March 15, 2017
Final Exam: Monday, Mon 8, 2017 12:40-2:40pm

Computational Tools:

There are many computational platforms for optimization, some more specialized than others. Throughout the course will will use MATLAB as the standard prototyping platform. Other platforms (such as AMPL, NEOS, TOMLAB) will be highlighted. Some familiarity with MATLAB is recommended. For a concise introduction to MATLAB, see the 1-credit hour course MATH 2650 - Introduction to Computational Math.

Other policies:

To make the most of your class, you are required to attend every class session. Students should notify (in advance) the instructor if they need to miss more than one session. Supporting documentation may be required. Drop dates: Please seek counseling from the Dean's office before dropping any course and note the following important dates: – last day to drop and receive a full tuition refund; Oct 26 – last day to drop without special permission from the Dean.

Academic Dishonesty:

Academic honesty is fundamental to the activities and principles of a university. All members of the academic community must be confident that each person's work has been responsibly and honorably acquired, developed, and presented. Any effort to gain an advantage not given to all students is dishonest whether or not the effort is successful. The academic community regards academic dishonesty as an extremely serious matter, with serious consequences that range from probation to expulsion. When in doubt about plagiarism, paraphrasing, quoting, or collaboration, consult the course instructor.

Disability Services:

If you are a student with a disability and believe you will need accommodations for this class, it is your responsibility to contact and register with the Disability Services Office, and provide them with documentation of your disability, so they can determine what accommodations are appropriate for your situation. To avoid any delay in the receipt of accommodations, you should contact the Disability Services Office as soon as possible. Please note that accommodations are not retroactive, and that disability accommodations cannot provided until an accommodation letter has been given to me. Please contact Disability Services for more information about receiving accommodations at Main Hall room 105, 719-255-3354 or [email protected]

Tentative Schedule for Fall 2012:
(Check the Assignments page for most up to date info)

		Week 1		1/18		Background Material: Elements of Linear Algebra and Vector Calculus Chapter 2 - Fundamentals of Unconstraint Optimization.
		Week 2		1/23-1/25		Line Search Methods
		Week 3		1/30-2/1		Trust Region methods
		Week 4		2/6-2/8		Conjugate Gradient Methods
		Week 5		2/13-2/15		Quasi-Newton Methods
		Week 6		2/20-2/22		Calculating Derivatives
		Week 7		2/27-3/1		Derivative Free Optimization
		Week 8		3/6-3/8		Least-Squares Problems
		Week 9		3/13-3/15		Midterm
		Week 10		3/20-3/22		Constraint Optimization
		Week 11		3/27-3/29		Spring Break - no classes
		Week 12		4/3-4/5		Constraint Optimization
		Week 13		4/10-4/12		Linear Programming: The Simplex Method
		Week 14		4/17-4/19		Elements of Calculus of Variations
		Week 15		4/24-4/26		Optimal Control
		Week 16		5/1-5/3		Review
				5/8		Final Exam Monday, 5/8 (12:40-2:40pm)

The instructor reserves the right to make modifications to this syllaus and announce them in class. Always check the website for the most up-to-date version.