OPT Fall 2016: Numerical Optimization and Applications – Part I


Tuesdays 4:30 pm at SAMSI, Research Triangle Park, NC, beginning Tuesday, September 6, 2016
No class during week of Thanksgiving: Tuesday November 22, 2016
Last class: Tuesday, November 29, 2016

Instructor: Ekkehard Sachs, University of Trier

Course Description: In this course we consider the numerical solution of constrained and unconstrained optimization problems. We review the classical schemes with a special emphasis on new and modern developments in this area like e.g. nonlinear trust region methods, inexact Newton methods or conditional gradient methods.

We also analyze how these methods can be especially adapted to optimization problem with constraints that come from ordinary, partial or even stochastic differential equations. The computation of Lagrange multipliers play an important role in this context from a traditional point of view but also from recent research using second order adjoints.

Another important topic in this course will be applications in optimization which come from problems in statistics and which often exhibit special structure that can be exploited to reduced computation time and storage.

Registration for this course is being processed through your respective university:

  • UNC-CH: STOR 894.001 / MA 892.001
  • Duke: STA 790.02 / MA 790-71.02
  • NCSU: MA 810.001 (NCSU Course Web Page)

Questions: email opt@samsi.info