COURSE OUTLINE:

Main topics covered :

1. General introduction to nonlinear programming methods
including the following algorithms for unconstrained optimization:
- steepest descent,
- conjugate gradient,
- Newton, and pseudo Newton algorithms and solution of
nonlinear vector equations.
2. Introduction to the linear least squared error problem;
projections and null spaces.

3. Introduction to constrained optimality :

- development of the necessary condition for the convex case ,
- convex duality; the perturbation function and dual function for
equality constraints ,
- extension to the case of mixed equality and inequality
constraints ,
- feasible direction algorithm .
4. Topics chosen and presented by the students.
5. Introduction to nonlinear dynamic optimization :
- existence theory of optimal control solutions ,
- the relaxed control problem,
- special properties of linear control problems,
- the Pontryagin Maximum Principle,
- problems in the calculus of variations,
- sufficiency of the Maximum principle.

Texts :
Lecturer's notes are a basis for the course and will be
distributed in the class.

Reference texts:
1. D. P. Bertsekas, "Nonlinear Programming", Athena Scientific
Publisher,1995. [T57.8 B47 1995]
2. D. P. Bertsekas, "Dynamic Programming and Optimal Control",
Athena Scientific Publisher, 1995. [T57.83 B476 1995]
3. E. Polak, "Computational Methods in Optimization", lecture
:
 notes handed out at University of California at Berkeley.
[QA402.5 P58]
: