AMath/Math 516

Numerical Optimization

Instructor:

Jim Burke, Math Dept

Office:

C-443 Padelford

Phone:

543-6183

E-mail:

burke@math.washington.edu

Office Hours:

MWF 11:40am - 1:00pm and by appointment

Classroom:

PDL C-401, MWF 9:30-10:20am

Supplementary Text:

Numerical Optimization: 2nd Ed., by Jorge Nocedal and Stephen Wright

Course Notes

These notes are modified each time this course is taught. I will let you know in class when this years version of a given chapter is ready to print.

• Table of Contents
• Chapter 0: Mathematical Preliminaries
• Chapter 1: Optimality Conditions: Unconstrained Optimization
• Chapter 2: Basic Convergence Theory
• Chapter 3: Conjugate Direction Methods
• Chapter 4: Matrix Secant Methods
• Chapter 5: Optimality Conditions: Constrained Optimization
• Chapter 6: LP's, QP's, and LCP's
• Chapter 7: The Gradient Projection Algorithm
• Chapter 8: Exterior Penalty Methods
• Chapter 9: The Method of Multipliers

Matlab Sample Code: Backtracking

Matlab Test Functions

Matlab

• Primer: Third Edition by Kermit Sigmon (1993)
• Using Matlab 4: By Tim Love (1996)
• More links to Matlab documentation on the web.