SUBJECT
Title
Numerical Methods for Optimization
Type of instruction
lecture+practical
Level
Master
Faculty
Part of degree program
Credits
2+2+1
Recommended in
Semester 2
Typically offered in
Spring semester
Course description
The goal of this course is to present a number of commonly-used algorithms and how they can be used to solve practical problems related to computer engineering. Numerical solution of nonlinear equations, unconstrained minimization algorithms, linear/nonlinear parameter estimation methods. Newton method, Quasi-Newton methods, method of continuation, gradient, conjugate gradient method, Gauss-Newton method.
Readings
Compulsory and recommended readings:
- A. Ben-Tal, A. Nemirovski, Lectures on Modern Convex Optimization - 2000, Book version: MPS-SIAM Series on Optimization, SIAM, Philadelphia, 2001
- A. Nemirovski, Optimization II: Standard Numerical Methods for Nonlinear Continuous Optimization, Lecture Notes, Israel Institute of Technology Minerva Optimization Center
- Jorge Nocedal, Stephen J. Wright, Numerical Optimization, ISBN: 978-0- 387-30303- 1 (Print) 978-0-387-40065- 5 (Online)