Computer Sciences Dept.

CS 730: Nonlinear Optimization II - Spring 2008 (Also IE, Stat, Math)


Schedule

  Lecture:     8:50 - 9:40 MWF, 1207 CS&S
               Start at 8:40 until further notice
  Mailing list: compsci730-1-s08@lists.wisc.edu 
  Course URL: http://www.cs.wisc.edu/~cs730-1 

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 Tuesdays, 2:30 - 3:30 Wednesdays
 

Teaching Assistant:

Pat Pakpoom

  Office:       5388 CS&S
  E-mail:       ppakpoom@wisc.edu
  Office Hours: 1:00 - 2:00 Mondays, 1:00-2:00 Thursdays
  (OH cancelled Feb 18, 21, rearranged Feb 13 1-2, Feb 25 1-2)
 

General Course Information (http://www.cs.wisc.edu/~ferris/cs730.html)

  • Course Outline
    • Theory and algorithms for nonlinearly constrained optimization.
    • Relevant geometric concepts, including tangent and normal cones, theorems of the alternative, and separation results.
    • Constraint qualifications.
    • Geometric and algebraic expression of first-order optimality conditions.
    • Second-order optimality conditions.
    • Duality.
    • Nonlinear programming algorithms:
      • Merit functions and filters;
      • interior-point, augmented Lagrangian, and sequential quadratic programming algorithms.

Required Text

  • I will use a set of notes specially prepared for this course. They will cover the first part of the Bertsekas book, and the last few chapters (15--19) of the Nocedal and Wright book. Neither book is actually required, but one or other will undoubtedly be useful.
  • Convex Analysis and Optimization, Dimitri Bertsekas (with A. Nedic and A. Ozdaglar), Athena Scientific, Belmont, MA 2003.
  • Numerical Optimization, J. Nocedal and S.J. Wright, Springer Series in Operations Research, Springer-Verlag, New York, 2006 (2nd edition).

Other References:

  • Nonlinear Programming, 2nd Edition, Dimitri Bertsekas, Athena Scientific, Belmont, MA 1999.
  • Practical Methods of Optimization, 2nd Edition, R. Fletcher, Wiley, 1987.
  • Practical Optimization, P. Gill, W. Murray and M. Wright, Academic Press, 1981.
  • Assignments and examinations
    • 1 Assignment per week approximately. Homework due at beginning of class one week after assigned unless otherwise noted.
      • Examinations are closed book, with the exception that 1 handwritten sheet (standard size paper) can be brought in to the examination.
      • Final Examination - Thursday, May 15 at 2:45 pm - 4:45 pm in xxxx CS&S.
      • No Midterm Examination
    • Prereq: CS 726 or consent of instructor
  • Grading
    • Grades for the class will be available at Learn@UW. You will need to log-on, move to the course page, and use the "Grades" tab at the top of the page.
    • Approximately: 70% Homework, 30% Final
    • 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) .

    GAMS Installation and Information

    • GAMS on a PC: This can be downloaded from GAMS download. A license file for this course was emailed to the class list, and is also available at Learn@UW.
    • GAMS on UNIX: To set up your login so that you have access to GAMS:
         > cat ~/.cshrc.local ~cs730-1/public/cshrc.local.add > newcshrc
         > mv newcshrc ~/.cshrc.local
         > source ~/.cshrc.local
      
      This alters your path and sets up the GAMS directory appropriate for linux machines. You must be added to the user list for GAMS as well. Students who are registered for the class should have this done automatically. If you have problems, notify via compsci730-1-s08@lists.wisc.edu
    • A GAMS Tutorial (by Rick Rosenthal).
    • Mosek (SOCP solver) manual
    • GAMS - A User's Guide.

    Handouts:

    Programming Assignments and Homeworks


    CS Department Computing Information

    Miscellaneous


    This page was updated February 1, 2008.

  •  
    Computer Sciences | UW Home