Aller au menu Aller au contenu
Une voie, plusieurs choix
Informatique et Mathématiques appliquées
Une voie, plusieurs choix

> Formation > Cursus ingénieur

Numerical optimization - 4MMON6

A+Augmenter la taille du texteA-Réduire la taille du texteImprimer le documentEnvoyer cette page par mail cet article Facebook Twitter Linked In
  • Number of hours

    • Lectures : 16.5
    • Tutorials : 9.0
    • Laboratory works : 7.5
    • Projects : -
    • Internship : -
    • Written tests : -
    ECTS : 3.0
  • Officials : Jerome MALICK

Goals

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.

Content

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.

Prerequisites

Applied Analysis, Linear Algebra, Numerical Analysis

Tests

Written exam + bonus points with homework

N1 = E1 (+ CC)
N2 = E2 (+ CC)

Calendar

The course exists in the following branches:

  • Curriculum - Math. Modelling, Image & Simulation - Semester 8
  • Curriculum - Financial Engineering - Semester 8
see the course schedule for 2020-2021

Additional Information

Course ID : 4MMON6
Course language(s): FR

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

A+Augmenter la taille du texteA-Réduire la taille du texteImprimer le documentEnvoyer cette page par mail cet article Facebook Twitter Linked In

Date of update January 15, 2017

Université Grenoble Alpes