ECE 390 | Introduction to Optimization |
Spring 2004 |
"Since the building of the universe is perfect and is created
by the wisdom creator, nothing arises in the universe in which
one cannot see the sense of some maximum or minimum." (Leonard Euler)
This is an introductory course on linear and nonlinear optimization. It is
designed for senior-level undergraduate students (first-year graduate
students are also welcome).
Schedule: Tue Thu 11:30-12:50pm, 165 Everitt Lab.
Teaching assistant: Mike Chen
Prerequisites: Linear algebra and vector calculus. Basic programming skills.
Grading policy: Bi-weekly homework - 30%, midterm
exam - 30%, final exam - 40%.
1. Linear optimization.
2. Nonlinear unconstrained optimization.
3. Nonlinear constrained optimization.
Other topics (time permitting).
Instructor: Daniel Liberzon
Office: 144 CSL.
Email: liberzon at uiuc.edu.
Phone: (217) 244-6750.
Office hours:
Office:
Email: mikechen@uiuc.edu.
Phone:
Office hours: Wed 4:30-6pm.
Textbook: D. Luenberger,
Linear and Nonlinear Programming, 2nd edition, 1984
(reprinted in 2003). Available in bookstore.
Supplementary texts: D. Bertsekas,
Nonlinear Programming,
2nd edition, 1999. On reserve in Grainger library.
S. Boyd and L.
Vandenberghe,
Convex Optimization, Cambridge University Press, 2004.
Freely available online here.
Course outline:
Linear programs. Fundamental theorem of linear programming.
Basic concepts of convex analysis. Fundamental theorem and convexity.
Simplex method.
Duality in linear programming. Relations to simplex method.
Basic optimality conditions. Convex optimization.
Gradient and Newton methods.
Line search methods. Convergence analysis of gradient and Newton methods.
Conjugate gradient methods.
Quasi-Newton methods.
Constraints. Basic optimality conditions. Lagrange multipliers.
Primal gradient methods.
Penalty and barrier functions. Interior-point algorithms.
Duality. Dual and primal-dual methods. Cutting plane methods.
Lagrange methods for quadratic programming.