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Summer Graduate Workshop
Continuous Optimization and Applications
Jul 9, 2007 to Jul 20, 2007

Organizer(s)

Henry Wolkowicz. (University of Waterloo)

Contact

This workshop is intended to introduce to graduate students the main ideas of Continuous Optimization and its Applications. In particular, we emphasize the major developments in the last ten years. This includes the use of interior point methods in the solution of large scale linear and nonlinear programs. The workshop includes a hands-on approach. Numerical tests will be done using the NEOS Server for Optimization. and the large group of NEOS Solvers.. Solution interpretation and sensitivity analysis will be emphasized.

The workshop is divided into three series of lectures and hands-on labs.
  • The first series includes an introduction to the modern theory of convex programming, its extensions and applications. This includes separation and support theorems, and Lagrange multiplier results. This series emphasizes that:
    the great watershed in optimization is not between linearity and nonlinearity, but convexity and nonconvexity (Rockafellar, 1993.)
  • The main series of lectures involves numerical algorithms for general nonlinear optimization. This includes both modern interior point approaches as well as classical Lagrange multiplier methods such as sequential quadratic programming, SQP. We include applications to engineering and financial problems and emphasize the large scale case.
  • The final series concentrates on specialized topics and applications. In particular, this includes optimization over convex sets described as the intersections of the set of symmetric, positive semidefinite matrices with affine spaces, i.e. Semidefinite Programming. This area has attracted a lot of interest due to the number of important applications, to e.g. Discrete Optimization and more general Engineering Problems. We will study and use several current solvers that are in the public domain.

More Information

Important

Schedule
Monday, July 09, 2007
9:00AM - 10:30AM Henry Wolkowicz, Nathan Krislock Session #1 [Video available]
11:00AM - 12:30PM Henry Wolkowicz, Nathan Krislock Session #2 [Video available]
2:00PM - 3:30PM Henry Wolkowicz, Nathan Krislock Session #3 [Video available]
Tuesday, July 10, 2007
9:00AM - 10:30AM Henry Wolkowicz, Nathan Krislock Session #5 [Video available]
10:40AM - 12:30PM Henry Wolkowicz, Nathan Krislock Session #6 [Video available]
2:00PM - 3:30PM Henry Wolkowicz, Nathan Krislock Session #7 [Video available]
Wednesday, July 11, 2007
9:00AM - 10:30AM Henry Wolkowicz, Nathan Krislock Session #9 [Video available]
11:00AM - 12:30PM Henry Wolkowicz, Nathan Krislock Session #10 [Video available]
Thursday, July 12, 2007
9:00AM - 10:30AM Henry Wolkowicz, Nathan Krislock Session #11 [Video available]
11:00AM - 12:30PM Henry Wolkowicz, Nathan Krislock Session #12 [Video available]
2:00PM - 3:30PM Henry Wolkowicz, Nathan Krislock Session #13 [Video available]
Friday, July 13, 2007
9:00AM - 10:30AM Henry Wolkowicz, Nathan Krislock Session #14 [Video available]
11:00AM - 12:30PM Henry Wolkowicz, Nathan Krislock Session #15 [Video available]
2:00PM - 3:30PM Henry Wolkowicz, Nathan Krislock Session #16 [Video available]
Monday, July 16, 2007
9:00AM - 10:30AM Henry Wolkowicz, Nathan Krislock Session #17 [Video available]
11:00AM - 12:30PM Henry Wolkowicz, Nathan Krislock Session 18 [Video available]
2:00PM - 3:30PM Henry Wolkowicz, Nathan Krislock Session 19 [Video available]
Tuesday, July 17, 2007
9:00AM - 10:30AM Henry Wolkowicz, Nathan Krislock Session 20 [Video available]
11:00AM - 12:30PM Henry Wolkowicz, Nathan Krislock Session 21 [Video available]
2:00PM - 3:30PM Henry Wolkowicz, Nathan Krislock Session 22 [Video available]
Wednesday, July 18, 2007
9:00AM - 10:30AM Henry Wolkowicz, Nathan Krislock Session 23 [Video available]
11:00AM - 12:30PM Henry Wolkowicz, Nathan Krislock Session 24 [Video available]
Thursday, July 19, 2007
9:00AM - 10:30AM Henry Wolkowicz, Nathan Krislock Session 25 [Video available]
11:00AM - 12:30PM Henry Wolkowicz, Nathan Krislock Session 26 [Video available]
2:00PM - 3:30PM Henry Wolkowicz, Nathan Krislock Session 27 [Video available]
Friday, July 20, 2007
9:00AM - 10:30AM Henry Wolkowicz, Nathan Krislock Session 28 [Video available]
11:00AM - 12:30PM Henry Wolkowicz, Nathan Krislock Session 29 [Video available]
2:00PM - 3:30PM Henry Wolkowicz, Nathan Krislock Session 30 [Video available]
4:00PM - 5:30PM Henry Wolkowicz, Nathan Krislock Session 31 [Video available]


Questions about this workshop should be sent either by email to
423@msri.org

or by regular mail to:
Continuous Optimization and Applications
Mathematical Sciences Research Institute
17 Gauss Way, Berkeley, CA
94720-5070.
USA

The Institute is committed to the principles of Equal Opportunity and Affirmative Action.



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