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Unconstrained Optimization
This course looks at the minimization of smooth functions of several variables. The first part of the course examines gradient based methods using line searches, including Newton, quasi-Newton, and conjugate gradient methods. A selection of other topics is then introduced, including trust region methods and methods for constrained optimization. Demonstration software is used to illustrate aspects of various algorithms in practice.Topics:• Gradient based methods: steepest descent, conjugate gradients, Newton's method and quasi-Newton methods. Line searches and trust regions.• Constrained optimization: Karush-Kuhn-Tucker conditions, quadratic penalty functions, augmented Lagrangians.• Derivative free methods: positive bases, Clarke's generalized derivative, frames.
Subject to approval of the Head of Department.
Chris Price (MATH)
Recommended Texts:• Numerical Optimization, Nocedal and Wright (2006).• Practical Methods of Optimisation, Fletcher (1987).• Practical Optimization, Gill, Murray, and Wright (1981).
MATH412 Homepage Mathematics and Statistics Honours Booklet
Domestic fee $788.00
International fee $3,588.00
For further information see Mathematics and Statistics.