Mellon College of Science

21690 – Methods of Optimization

An introduction to the theory and algorithms of linear and nonlinear programming with an emphasis on modern computational considerations. The simplex method and its variants, duality theory and sensitivity analysis. Large-scale linear programming. Optimality condi-tions for unconstrained nonlinear optimization. Newton's method, line searches, trust re-gions and convergence rates. Constrained problems, feasible-point methods, penalty and barrier methods, interior-point methods.