CME 338: Large-Scale Numerical Optimization

The notes below are initially from last year's class. They will be updated as we proceed through the spring quarter. Hard copies of the updated notes will be handed out in class.

  1. Review of matrix factorizations

  2. Overview of optimization software

  3. Suggested projects

  4. Iterative methods for symmetric Ax = b

  5. Iterative methods for square and rectangular systems Ax approx b

  6. The primal simplex method

  7. LUSOL: A basis factorization package

  8. Basis LU updates

  9. Primal-dual interior methods

  10. MINOS Part 1 – the reduced-gradient method

  11. Augmented Lagrangians – BCL methods

  12. MINOS Part 2 – LCL methods

  13. SQP Methods

  14. SNOPT examples