Advanced Topics in Numerical Analysis: NUMERICAL OPTIMIZATION
Computer Science CSCI-GA.2945-001
New York University
Fall Semester 2014
Class meetings: Tuesday, 5:10-7:00pm
Warren Weaver Hall (CIWW), Room 512
Instructor: Margaret Wright, firstname.lastname@example.org
Office: Warren Weaver Hall (CIWW), Room 430
Office Hours: Monday 3:00-4:50pm, or by appointment
Description of Course Content
Many problems in science, engineering, medicine, and
business involve optimization, in which
we seek to optimize a mathematical measure of
goodness subject to
constraints. This course will survey widely used methods for
continuous optimization, focusing on both theoretical foundations and
implementation as software, with particular attention
to numerical issues.
Topics include linear programming
(optimization of a linear function subject to linear constraints),
line search and trust region methods for unconstrained optimization,
and a selection of approaches (including active-set, sequential
quadratic programming, and interior methods) for constrained optimization.
Textbook (recommended; not required)
Numerical Optimization, Jorge Nocedal and Stephen Wright,
Other material will be passed out as notes.
The course requirements include class attendance,
seven or eight homework assignments, and an in-class midterm.
Depending on enrollment, there will also be a final exam or an original project.
HW1, due September 16, 2014.
HW2, due September 24, 2014.
HW3, due October 1, 2014.
HW4, due October 8, 2014.
Homeworks must be submitted in electronic form, and must
be emailed to the instructor before midnight on the due date.
Without explicit permission from the instructor in advance,
late homework will be marked down by 30% for every day of
Students are expected to be comfortable with numerical
linear algebra and multivariate calculus, and to have
programming experience (preferably in Matlab). Students without
all elements of this background are likely to have
difficulty with the course material.
Most homework assignments will include programming and
analysis of the numerical results.
Students will be asked to submit their
code as part of each homework assignment.
The instructor will use Matlab, an interactive software package and
programming environment, for her own programs. If you would like to use
another language, please obtain advance permission from the instructor.
Matlab is a product of the Mathworks; a student version costs
around $100 at the Computer Store, or you can use Matlab in
a Courant computer lab. (You will need a CIMS account.) You can use Matlab
remotely, with a few (solvable) complications if you wish to
use its graphics capabilities.
There will be an in-class, closed-book midterm during the second hour of
class on October 28, 2014.