Number of hours
- Lectures 16.5
- Projects -
- Tutorials 9.0
- Internship -
- Laboratory works 7.5
- Written tests -
ECTS
ECTS 3.0
Goal(s)
Optimization methods are numerical tools inside many engineering software, in industry (aeronautics,…) or services (finance, decision making tools,…). This course is an introduction to the bases of mathematics and algorithmics of continuous optimization. The goal is to get familiar with these notions by manipulating basic mathematical results and some software. We insist on examples, many of them coming from real-life applications.
Responsible(s)
Hamza ENNAJI
Content(s)
1. Introduction, classification, first examples in finance and weather forcasting. Special classes : quadratic programming, conic progamming, illustrations
2. Theoretical results : convexity, compactness, optimality conditions, KKT theorems.
3. Algorithms for smooth unconstrained optimization : descent methods, line-search, Newton and quasi-Newton methods.
4. Algorithms for nonsmooth optimization : Lagrangian duality, bundle methods, illustration with the electricity production management.
5. Algorithms for smooth constrained optimization : penalization (interior or exterior), SQP methods.
PrerequisitesApplied Analysis, Linear Algebra, Numerical Analysis
Test
Written exam + bonus points with homework
- MCC en présentiel **
N1 = examen (+ CC)
N2 = examen (+ CC)
- MCC en présentiel **
- MCC en distanciel **
N1 = devoir à la maison (+ CC)
N2 = devoir à la maison (+ CC)
- MCC en distanciel **
Calendar
The course exists in the following branches:
- Curriculum - Math. Modelling, Image & Simulation - Semester 8
- Curriculum - Financial Engineering - Semester 8
Additional Information
Course ID : 4MMON6
Course language(s): 
The course is attached to the following structures:
You can find this course among all other courses.
Bibliography
S. BOYD and L. VANDENBERGHE : Convex Optimization, Cambridge, 2004
G. CORNUEJOLS and R. TUTUNCU : Optimization methods in Finance, Cambridge, 2007
J.B. HIRRIART-URRUTY and C. LEMARECHAL : Convex Analysis and Minimization Algorithms (vol. 1 et 2), Springer, 1996