CS 635: Tools and Environments for Optimization - Spring 2009

Schedule

  Lecture:         8:50 - 9:40 MWF, 1257 CS&S
  Mailing list:    compsci635-1-s09@lists.wisc.edu 
  Archive of list: Class Mailing List Archive
                   You will need to enter your cs account login and password to access this archive.
  Course URL:      http://www.cs.wisc.edu/~cs635-1 

Instructor: Michael C. Ferris

  Office:       4381 CS&S
  Telephone:    262-4281
  E-mail:       ferris@cs.wisc.edu
                I will respond to the class mailing list, including
		your original message in most cases.
  Office Hours: 12:00 - 1:00 Mondays, 2:00 - 3:00 Wednesdays
 

Teaching Assistants:

Zhiting Xu

  Office:       5390 CS&S
  E-mail:       zhiting@cs.wisc.edu
  Office Hours: 2:00-3:00 Tuesdays, 1:00-2:00 Thursdays

General Course Information (http://www.cs.wisc.edu/~ferris/cs635.html)

• Many companies and research programs are integrating optimization technology into their day to day operations. Manipulating models and optimization software and applying general operations research methodology in various contexts is becoming an increasingly sought after skill. This course is designed to teach students about "optimization in practice". The course involves learning about, using, and analysing the results of state of the art optimization software. The student will learn how to design good models for realistic applications in engineering and the sciences. Each student will work with others to develop a "commercial strength" application of optimization technology.
• Course Outline
  • Introduction: the development cycle, interacting with clients, presenting results.
  • Fundamentals: basic model classes, linking them together and tricks to help solve them.
  • Modeling Language Concepts: using GAMS to build practical models.
  • Data Management: obtaining and manipulating data, maintaining integrity.
  • Validation: analysis and visualizion of results.
  • Tools: Matlab, Spreadsheets, IDE, Embedded optimization
  • Other Environments: callable libraries, automatic differentiation, WEB based optimization and other software.
• Recommended Texts: The first three of these should be on 2 hour reserve at the Wendt Library.
  • Model Building in Mathematical Programming, H.P. Williams, Wiley, (4th Edition) 1999.
  • Introduction to Mathematical Programming, W. Winston and M. Ventataraman, Duxbury, (4th Edition) 2003.
  • Optimization in Operations Research, R. Rardin, Prentice Hall, 1998.
  • GAMS - A User's Guide is electronically available.
• Handouts from Class
  • Examples directory. Most of the examples carried out in lectures are stored in this directory. Specific examples are outlined below.
  • Top Brass Example
    • PDF Description.
    • Original Gams File.
    • Revised Gams File using "all" and upper and lower bounds.
  • Softsuds example.
  • Sets/Ordered Sets
    • Multi-dimensioned sets.
    • Ordered sets.
    • Simple Fibonacci Model.
  • Display Statements.
  • Conditional statements
    • Other ways to do Fib Model.
    • Example of dollar on left/right.
  • Tyco Example (simple version).
  • Tyco Example (fancy version).
  • Linear Programming
    • Infeasible Model. Note the annotation "INFES" in the solution portion of the listing file.
    • Unbounded Model. Note the annotation "UNBD" in the listing file.
    • Transport Model. Example of dual problem.
  • Piecewise Linear Convex Example.
  • Dynamic Sets
    • Simple dynamic sets.
    • Fib model using dynamic sets.
    • Bad uses of dynamic sets.
  • Network Flows
    • Dynamic sets - graph problem.
    • Minimum cost network flow.
    • Minimum cost network flow (revised). Adds capacity constraints and shows looping control and if statement.
    • Shortest Path Example. (Picture given in class)
    • Shortest Path Example (multiple runs).
    • Max Flow example.
  • Put and Include statements
    • Put statements in trnsport example.
    • Stars zip archive with details on several put and include statements.
  • Mixed Integer Programming
    • Fixed cost clothing example.
    • Fixed cost clothing example using indicator constraints.
    • Either or (cars) example.
    • Semiint variable example.
    • Constraint logic example.
    • Set cover example.
• Assignments and examinations
  • Homework assignments: 75% of grade
  • Project assignment: 25% of grade
  • No midterm or final examination in this course. Project is due at the time of the final examination.
  • Prereq: CS 302, Math 340 or equivalent
• Grading
  • Grades for the class will be available at Learn@UW. You will need to log-on to Learn@UW, move to the course page, and use the "Grades" tab at the top-left of the page.
  • Approximately: 75% Homework, 25% Project
  • 1 Assignment per week approximately. Most of the assignments will require the use of GAMS, which will also be used extensively in the lectures. Homework is due (using the dropbox facility of Learn@UW) by 11am on the due date. No homework or project accepted in mailbox of instructor or TA.
  • You may discuss the assignments with your classmates. However, you may not share any code, copy solution from another person, or carry out an assignment together. Discussion should only involve verbal communication. All assignments need to be written up entirely separately.

    Submitting someone else's work as your own is academic misconduct. Such cheating and plagiarism will be dealt with in accordance with University procedures (see the Academic Misconduct Guide for Students) .

• Other Useful Texts:
  • A GAMS Tutorial (by Rick Rosenthal). This will be useful additional information in the introductory class lectures.
  • GAMS Online Documentation including Solver Manuals, etc
  • GAMS/Cplex Manual is electronically available.
  • gdx utils manual is electronically available.
  • PC gdx viewer documentation (included in GAMS IDE)
  • NEOS Optimization Tree
  • Practical Management Science, Winston and Albright, Duxbury Press, 1997.
• Useful sources of information can be found at:
  • GAMS wikipedia entry
  • Linear Programming wikipedia entry
  • Linear Programming FAQ
  • A GAMS/MATLAB Interface
  • MATLAB Plotting from GAMS

Programming Assignments and Homeworks

• You may discuss the assignments with your classmates. However, you may not share any code, copy solution from another person, or carry out an assignment together. Discussion should only involve verbal communication. All assignments need to be written up entirely separately.
• Handing in homeworks: All homeworks will be handed in using the dropbox facility of Learn@UW. You will need to log-on to Learn@UW, move to the course page, and use the "Dropbox" tab at the top-left of the page. Homework is due by 11am on the due date; no late homework will be accepted (the drop box will be closed automatically). No homework or project accepted in mailbox of instructor or TA. -->
• Homework 1 (due Friday January 30, 2009).
• Homework 2 (due Friday February 6, 2009).
• Homework 3 (due Friday February 13, 2009).
• Homework 4 (due Friday February 20, 2009).
• Homework 5 (due Friday February 27, 2009).
• Homework 6 (due Friday March 6, 2009). facility.dat maxmatrix.dat
• Homework 7 (due Friday March 13, 2009). 9 by 9 example data 25 by 25 example data
• Homework 8 (due Monday March 27, 2009). data for problem 3
• Homework 9 (due Friday April 3, 2009). laplace.gdx nfl2002.gdx
• Homework 10 (due Friday April 17, 2009). Data is in hw10.gdx or hw10.xls
• Homework 11 (due Wednesday April 29, 2009).
• Homework 12 (due Thursday May 14, 2009).
• Selected solutions posted here for assignments that are closed..

Projects

• Write a one page outline of project and get it approved by Michael Ferris (deadline: April 13, 2009). Answer any questions posed on outline (deadline: April 20, 2009).
• Implement an optimization model, describe/output results in a form reasonable for the application. Describe, modify, and implement improvements to the original format if necessary.

  Turn in completed project (deadline: Thursday, May 14, 2:25pm). For each project I need a hard copy of a (short - less than 4 page) project report. The report should make clear what you have done, and detail your contribution to the "question at hand". If you ran into significant problems with certain aspects of the project, you should detail what the changes you made were, and why they were necessary/time consuming.

  Many projects will result in models or extra (electronic) information that may be useful when I mark the work. If so, all the relevant files should be assembled into a single "zip" file and submitted using the stanard drop box procedure (use a file "project.zip"). You can refer to these files within your project report.

• Potential oral defense of project.

Computing Information

• GAMS for the PC: A student version of the GAMS Integrated Development Environment can be downloaded. Online documentation is more up to date than the above. It is acceptable to use this version of GAMS to develop your models for any homework assignment or project but they must be handed in as detailed above. Some support for installation, etc will be given by the TA or the instructor for students who use this software. A PC license for the class duration is available for your personal use. You should copy this file to your local machine and when the installation asks for a license file, you should give it this file.