1415 Nonlinear Optimization

Nonlinear Optimization (WS 14/15)

Dr. Michael Schick, Philipp Gerstner

Schedule: Tuesday 11:00 - 13:00 and Friday 11:00 - 13:00

Room: INF 294 / AM HS -104

SWS: 4 (lecture) + 2 (exercises)

CP: 8

Language: English

Muesli: https://www.mathi.uni-heidelberg.de/muesli/lecture/view/398

Topics:

Nonlinear optimization problems, Descent methods for unconstrained optimization, Linesearch, Optimality criteria for equation constrained optimization, Sequential Quadratic Programming. Nonlinear curve fitting, Gauß-Newton method, SQP-methods for inequality constrained optimization, Automatic differentiation (optional).

Recommended literature:

Jarre, Stoer: Optimierung
Nocedal, Wright: Numerical Optimization
Gill, Murray, Saunders, Wright: Practical Optimization
Fletcher: Practical Methods of Optimization
Luenberger: Linear and Nonlinear Programming
Geiger, Kanzow: Numerische Verfahren zur Lösung unrestringierter Optimierungsaufgaben
Geiger, Kanzow: Theorie und Numerik restringierter Optimierungsaufgaben
Bonnans, Gilbert, Lemarechal, Sagastizbal: Numerical Optimization

Recommended preliminaries:

Knowledge in Linear Algebra and Analysis; for example: Analysis I,II and Lineare Algebra I
Knowledge in linear optimization, e.g. Algorithmische Optimierung II

Exam:

Main exam: Wednesday, 11 February 2015
10:00 am. - 12:00 pm. at HS 2, Bldg. 288
If you do not pass the main exam or do not attend to the main exam, you can attend the second exam on
Monday, 30 March 2015
10:00 am. - 12:00 pm. at HS 2, Bldg. 288

Everybody who satisfies the certificate criteria will be registered for the main exam automatically. If you do not attend the main exam, the registration is cancelled automatically. Otherwise, attending the main exam will results in a grade (no free shot). Either way, satisfying the certificate criteria is mandatory to be allowed to take part at the exam.

Exercises:

Criteria for getting the exercise certificate ("Schein")

72 points (in total over all exercise sheets)
Presentation of at least one solution during the tutorials
Successful completion of at least one programming exercise
Pass the exam (this will be the grade of the certificate)

The solutions can be submitted on Mondays (any time) in the mailbox at INF 294 (ground floor). It is allowed and preferred to submit solutions in teams of two students per homework.

Exercise sheets: