An Introduction to Numerical Optimization

Catalog description

This course provides a thorough introduction to numerical methods and algorithms for solving non-linear continuous optimization problems. A particular attention will be given to the mathematical underpinnings to understand the theoretical properties of the optimization problems and the algorithms designed to solve them. Topics will include: line search methods, trust-region methods, nonlinear conjugate gradient methods, an introduction to constrained optimization (Karush-Kuhn-Tucker conditions, mini-maximization, saddle-points of Lagrangians). Some applications in signal and image processing will be explored. Prerequisites: Multivariable calculus; Linear algebra; Computer programming. APMA 1170 or equivalent is recommended.