Optimization of Complex Systems

Sergio Gonzalez-Andrade
Research Center on Mathematical Modelling
National Polytechnical School of Quito, Ecuador
MathMods Master Program
Hamburg, 2014
Objective. The main goal of this course is to provide a comprehensive description of several, classical and
state-of-the-art, techniques for solving continuous optimization problems. We are interested not only on the
theory, but also on the implementation and practical use of these techniques.
Contents.
1. Introductory examples.
(a) An unconstrained problem.
(b) A constrained problem.
2. Preliminaries
(a) Vector analysis.
(b) Convexity.
3. Unconstrained Optimization.
(a) Optimality conditions
(b) Numerical optimization algorithms.
i. Descent methods.
ii. Newtons method.
iii. Newton-type and inexact Newton methods.
iv. Quasi-Newton methods.
v. Trust region methods.
4. Constrained optimization
(a) Box-constrained optimization
i. Projection methods.
ii. Semismooth Newton method.
(b) Equality constraints.
5. Applications.
Evaluation. It is mandatory for the students to take an exam at the end of the course. We oer two exam
possibilities: the rst at July, 12 and the second one in a date to be announced. One sheet of exercises
will be provided every week. The students are expected to attend the exercises clases and to consider these
exercise sheets as homework. Homework is not taken into account for the nal grade. However, the students
need to satisfactory solve at least the 50% of the provided exercises, at least one per sheet, to be allowed in
the nal exam.
References
1. C.T. Kelley, Iterative Methods for Optimization, SIAM Publications, 1999.
2. M. Giaquinta and G. Modica, Mathematical Analysis. An Introduction to Functions of Several Vari-
ables, Birkhauser, 2009.
3. J. Nocedal and S. J. Wright, Numerical Optimization, Springer, 2000.
4. W. Sun and Y. X. Yuan, Optimization Theory and Methods. Nonlinear Programming, Springer, 2006.
We recommend the book of Giaquinta and Modica for revising concepts on dierentiation and analysis. For
this purpose, we also recommend to check the appendix A.1 in Nocedal and Wright.
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