Optimization Algorithms
3.0
creditsAverage Course Rating
This course considers algorithms for solving various nonlinear constrained optimization problems and, in parallel, develops the supporting theory. Topics include: necessary and sufficient optimality conditions for constrained optimization; projected-gradient and two-phase accelerated subspace methods for bound-constrained optimization; simplex, interior-point, Bender's decomposition, and the Dantzig-Wolfe decomposition methods for linear programming; duality theory; penalty, augmented Lagrangian, sequential quadratic programming, and interior-point methods for general nonlinear programming. In addition, we will consider the Alternating Direction Method of Multipliers (ADMM), which is applicable to a huge range of problems including sparse inverse covariance estimation, consensus, and compressed sensing.