CS 635: Tools and Environments for Optimization

Spring 2015 (also ISyE)

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, (5th Edition) 2013.
  • 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.
  • Practical Management Science, Winston and Albright, Duxbury Press, 1997.
• Handouts from Class
  • We will use the resources page on piazza for all handout posting.
  • Examples directory. Most of the examples carried out in lectures are stored in this directory. Specific examples are outlined below.
• Assignments and examinations
  • Homework assignments: 65% of grade
  • Project assignment: 25% of grade
  • Final exam: 10% of grade
  • No midterm examination in this course. Project is due at noon on Sunday May 17, 2015.
  • Prereq: CS 302, Math 340 or equivalent, CS/ISyE 525 will be quite useful.
• Grading: We will only mark a randomly selected subset of the questions handed in and the mark on this subset will be your mark for the assignment. At most twice during the semester, and within 24 hours of getting the graded homework assigment back, you can resubmit (under my office door) the complete homework and have it graded in its entirety. However, if the overall mark is within 10% of the original mark assigned, you will receive the lower of these two marks as your assignment score. If the overall mark is more than 10% different then you will get the higher of the two marks.
  • 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.
  • Final exam: will require the use of a laptop computer. If you do not own a laptop computer, they can be checked out from the Wendt library. The final exam will be held on May 15 at 2:45PM in Psychology 107.
  • 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 noon 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. Learning is a collaborative process, so you are encouraged to verbally discuss the course work, including homework, with other students. However, work that you hand in must have been prepared by you alone. However, it is imperative that you understand the material on your own. You (obviously) can't ask your study-partners for help on the exam, so it is up to the student to ensure that they have individually mastered the material. An effective way of ensuring this is to work on the homework assignments alone before seeking help or collaborating with others. If it is perceived that homeworks are being completed by teams of individuals, a modification of the course grading allocation may be necessary.

    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) .

  • You may use supplementary material to enhance your understanding of the course material. If you use external references of any kind, even if they are not quoted verbatim, YOU MUST CITE THEM! This rule will be strictly enforced and violations will be dealt with harshly. Again, I encourage you to seek outside sources, but you must acknowledge the source of any ideas that are not your own.
• 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
• 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. Further details will be provided when the assignments are passed out.

Projects

• Write a one page outline of project and get it approved by Michael Ferris (deadline: April 15, 2015). Answer any questions posed on outline (deadline: April 22, 2015).
• 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: Sunday, May 17, 12:00). 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 your laptop: 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.