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- Exam will be at room G-205 on Tuesday Feb 2, 10pm. Please bring calculators and blank sheets. No notes allowed (both printed or hand-written).

This course is about optimisation in finite-dimensional (Euclidean) spaces. It includes least squares problems, linear programming and convex optimisation. You will learn:

- to recognise and formulate a problem as an optimisation problem with or without constraints
- necessary and sufficient optimality conditions
- fundamentals of convex analysis
- some algorithms for solving optimisation problems.

Lecturer: Tomáš Werner

Schedule (may change during the term):

# | date | topic | optional materials |
---|---|---|---|

01 | 02.10. | Matrix algebra. | |

02 | 09.10. | Recap of parts of linear algebra. | EE263 lect. 2-4 |

03 | 16.10. | Ortogonality, QR decomposition. | EE263 lect. 4-5 |

04 | 23.10. | Least squares, least norm. | EE263 lect. 5-6,9 |

05 | 30.10. | Quadratic functions, spectral decomposition. | EE263 lect. 15-17 |

06 | 06.11. | Quadratic functions, spectral decomposition. | |

07 | 13.11. | SVD | |

08 | 20.11. | Multivariate calculus. | |

09 | 27.11. | Local extrema, free and equality-constrained. | Luenberger 7.1-7.3, 11.1-11.4 |

10 | 04.12. | Numerical algorithms to find free local extrema. | Luenberger 8.8 |

11 | 11.12. | Linear programming. Convex sets, convex polyhedra. | Luenberger 2.1-2.6 |

12 | 18.12. | Simplex method. | Luenberger 3.1-3.5 |

13 | 08.01. | Convex functions, convex optimization. | EE364a lect. 3-4 |

14 | 15.01. | Duality. | EE364a lect. 5 |

Here are lecture notes (partially translated into English, the translation will gradually progress).

“Luenberger” refers to the book David Luenberger - Yinyu Ye: Linear and Nonlinear Programming.

Here is optional literature.

The total number of points is the sum of:

- Lab homeworks: max. 50 points,
- Exam: max. 50 points.

Necessary condition for passing the course is passing the labs and min. 25 points from the exam. The final mark is then determined by the table:

points | [0,50) | [50,60) | [60,70) | [70,80) | [80,90) | [90,100] |
---|---|---|---|---|---|---|

mark | F | E | D | C | B | A |

courses/ae4b33opt/start.txt · Last modified: 2016/01/15 21:17 by wernetom