ENG
507
Mathematical Optimization
Basic Concepts: The gradient vector and the Hessian Matrix, multidimensional Taylor's theorem, linear and quadratic approximation of a function. Unconstrained optimization, necessary and sufficient conditions for optimality. Algorithms for single variable minimization, the Fibonacci search and the Golden section search, algorithms that use repeated polynomial interpolation. Algorithms for multi-dimensional minimization; The steepest descent, the Newton method and its variations, conjugate gradient algorithms such as the Flecter-Reeves, Polak and Ribieve, Quasi-Newton Methods such as the DEP- BFGS, Huang's family of algorithms. Constrained optimization: Necessary and sufficient conditions for constrained minima. Algorithms for constrained optimization: interior and exterior penalty function methods, augmented Lagrangian methods, Resen's gradient projection.
0600507
(3-0-3)