Optimisation, theory and numerical aspects

C. Lage

Last updated on May 31, 2021

This course takes place from mid to late September (3 sessions of 3 hours per week over two weeks).

Objective

The objective of this course is to cover the main theoretical and practical aspects of optimization. The course will focus in Convex Optimization. The main theorems will be mathematically demonstrated as well as the theoretical approach of practical methods. Numerical aspects of optimization methods will also be discussed.

Bibliographie

  • Boyd, S.; Vandenberghe L. Convex Optimization. Cambridge. Cambridge University Press. 2004.

  • Rockafellar, R. Tyrrell. Convex analysis. Princeton landmarks in mathematics. Princeton. 1997.

  • Nesterov, Yurii. Lectures on Convex Optimization, Springer, 2018.