# Mathematical Sciences Research Institute

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Continuous Optimization and Applications July 09, 2007 - July 20, 2007
Organizers Henry Wolkowicz. (University of Waterloo)
Lecturer(s) No Lecturers Assigned Yet.
Speaker(s)

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Description 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.

Funding & Logistics

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MSRI has preferred rates at the Rose Garden Inn, depending on room availability. Reservations may be made by calling 1-800-992-9005 OR directly on their website. Click on Corporate at the bottom of the screen and when prompted enter code MATH (this code is not case sensitive). By using this code a new calendar will appear and will show the MSRI rate on all room types available.

MSRI has preferred rates at the Hotel Durant. Reservations may be made by calling 1-800-238-7268. When making reservations, guests must request the MSRI preferred rate. If you are making your reservations on line, please go to this link and enter the promo/corporate code MSRI123. Our preferred rate is $129 per night for a Deluxe Queen/King, based on availability. MSRI has preferred rates of$149 - $189 plus tax at the Hotel Shattuck Plaza, depending on room availability. Guests can either call the hotel's main line at 510-845-7300 and ask for the MSRI- Mathematical Science Research Inst. discount; or go to www.hotelshattuckplaza.com and click Book Now. Once on the reservation page, click “Promo/Corporate Code“ and input the code: msri. MSRI has preferred rates of$110 - \$140 at the Berkeley Lab Guest House, depending on room availability. Reservations may be made by calling 510-495-8000 or directly on their website. Select “I am an individual traveler affiliated with MSRI”.

Additional lodging options may be found on our short term housing page.

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Schedule
Jul 09, 2007
Monday
 09:00 AM - 10:30 AM Session #1 Nathan Krislock, Henry Wolkowicz 11:00 AM - 12:30 PM Session #2 Nathan Krislock, Henry Wolkowicz 02:00 PM - 03:30 PM Session #3 Nathan Krislock, Henry Wolkowicz
Jul 10, 2007
Tuesday
 09:00 AM - 10:30 AM Session #5 Nathan Krislock, Henry Wolkowicz 10:40 AM - 12:30 PM Session #6 Nathan Krislock, Henry Wolkowicz 02:00 PM - 03:30 PM Session #7 Nathan Krislock, Henry Wolkowicz
Jul 11, 2007
Wednesday
 09:00 AM - 10:30 AM Session #9 Nathan Krislock, Henry Wolkowicz 11:00 AM - 12:30 PM Session #10 Nathan Krislock, Henry Wolkowicz
Jul 12, 2007
Thursday
 09:00 AM - 10:30 AM Session #11 Nathan Krislock, Henry Wolkowicz 11:00 AM - 12:30 PM Session #12 Nathan Krislock, Henry Wolkowicz 02:00 PM - 03:30 PM Session #13 Nathan Krislock, Henry Wolkowicz
Jul 13, 2007
Friday
 09:00 AM - 10:30 AM Session #14 Nathan Krislock, Henry Wolkowicz 11:00 AM - 12:30 PM Session #15 Nathan Krislock, Henry Wolkowicz 02:00 PM - 03:30 PM Session #16 Nathan Krislock, Henry Wolkowicz
Jul 16, 2007
Monday
 09:00 AM - 10:30 AM Session #17 Nathan Krislock, Henry Wolkowicz 11:00 AM - 12:30 PM Session 18 Nathan Krislock, Henry Wolkowicz 02:00 PM - 03:30 PM Session 19 Nathan Krislock, Henry Wolkowicz
Jul 17, 2007
Tuesday
 09:00 AM - 10:30 AM Session 20 Nathan Krislock, Henry Wolkowicz 11:00 AM - 12:30 PM Session 21 Nathan Krislock, Henry Wolkowicz 02:00 PM - 03:30 PM Session 22 Nathan Krislock, Henry Wolkowicz
Jul 18, 2007
Wednesday
 09:00 AM - 10:30 AM Session 23 Nathan Krislock, Henry Wolkowicz 11:00 AM - 12:30 PM Session 24 Nathan Krislock, Henry Wolkowicz
Jul 19, 2007
Thursday
 09:00 AM - 10:30 AM Session 25 Nathan Krislock, Henry Wolkowicz 11:00 AM - 12:30 PM Session 26 Nathan Krislock, Henry Wolkowicz 02:00 PM - 03:30 PM Session 27 Nathan Krislock, Henry Wolkowicz
Jul 20, 2007
Friday
 09:00 AM - 10:30 AM Session 28 Nathan Krislock, Henry Wolkowicz 11:00 AM - 12:30 PM Session 29 Nathan Krislock, Henry Wolkowicz 02:00 PM - 03:30 PM Session 30 Nathan Krislock, Henry Wolkowicz 04:00 PM - 05:30 PM Session 31 Nathan Krislock, Henry Wolkowicz