Course website

Slides, code, and homework assignments will be posted in the Owl Space http://owlspace.rice.edu.

Syllabus

Scope: The theory and numerical solutions of constrained optimization problems with applications in engineering and sciences.

Topics covered: Optimization formulations and examples. Optimality conditions. Lagrange Duality. Simplex and interior-point methods for linear programming; penalty, barrier, and augmented Lagrangian methods for nonlinear programming. Sequential quadratic programming.

Prerequisites: Linear algebra and MATLAB programming. Some numerical methods for unconstrained optimization at the level taught in CAAM 453 and 454. These materials are covered in Section 1-11 of the course textbook.

Textbook: Numerical Optimization by J. Nocedal and S. J. Wright, Second Edition.

Course workload: approx. 5 homework sets including written and programming assignments, 1 final take-home exam.

Grading: 30% class participation, 40% homework, 30% take-home final

Credits: 3 credit hours

Honor Code Policy: On non-pledged assignments, you are encouraged to discuss homework with fellow classmates. You must, however, individually write up your solutions. On pledged assignments, you are not allowed to discuss homework with fellow students, seek help from the internet or a solution manual, or use any answers/code of previous homework.

Note on Disability Based Accommodations:
If you have a documented disability that will impact your work in this class, please contact me to discuss your needs. Additionally, you will need to register with the Disability Support Services Office in the Ley Student Center.

Instructor: Wotao Yin, x5368, 3086 Duncan, wotao.yin at rice.edu (my replies often get tagged SPAM by Rice's SPAM filter, so check your SPAM box)
TA: TBA
Office Hour: by appointment
Course webpage: www.caam.rice.edu/~wy1/CAAM564
Slides and homework: owlspace.rice.edu