COMPGV19 - Numerical Optimisation
This database contains 2016-17 versions of the syllabuses. For current versions please see here.
|Taught By||Marta Betcke|
|Aims||To provide the students with an overview of the optimization landscape and a practical understanding of most popular optimization techniques and an ability to apply these methods to problems they encounter in their studies e.g. MSc project/dissertation and later in their professional career.|
This module teaches a comprehensive range of state of the art numerical optimization techniques. It covers a number of approaches to unconstrained and constrained problems, methods for smooth and non-smooth convex problems as well as basics of non-convex optimisation.
This module is a core module in MSc in Scientific Computing.
- Mathematical formulation and types of optimisation problems
- Unconstrained optimization theory e.g.: local minima, first and second order conditions
- Unconstrained optimization methods e.g.: line-search, trust region, conjugate gradient, Newton, Quasi-Newton, inexact Newton
- Smooth convex optimization: first order methods e.g. gradient descent, Nesterov, second order methods e.g. Newton
- Least Squares problems
- Constrained optimization theory e.g.: local and global solutions, first order optimality, second order optimality, constraints qualification, equality and inequality constraints, duality, KKT conditions
- Constrained optimization methods e.g.: linear programming, quadratic programming, penalty, barrier and augmented Lagrangian methods, least squares with smooth and non-smooth regularization, nonlinear problems e.g. sequential quadratic programming
- Non-smooth optimization e.g: subgradient calculus, subgradient methods, proximal ?operator, operator splitting, ADMM, non-smooth penalties e.g. L1 or TV.?
Method of Instruction:
Weekly three hour lecture accompanied by a one hour practical tutorial, where the students get to implement (whenever practicable) and test performance of the methods taught in the lectures.
The course has the following assessment components:
- Coursework 1 (20%)
- Coursework 2 (20%)
- Project (60%)
- Numerical Optimization, Jorge Nocedal and Stephen J. Wright, 2nd edition, Springer
- Primal-Dual Interior-Point Methods, Stephen J. Wright, SIAM
- Convex Optimization, Stephen Boyd and Lieven Vandenberghe, Cambridge University Press