M2 Optimization

Master Mathematics and Applications

Fall 2016 at Ecole Polytechnique

♦Lecture notes:

Cours magistral, Sep 8, 2016
Cours magistral (Chapter 3), Sep 15, 2016


♦Overview:

This course is devoted to optimization. Each slot features 3 hours of courses and 2 hours of working exercises. At the end of each class (except the first one) a short written exam will take place. The final grade will be a combination of the grades obtained at those short exams.

The French version can be found here.


♦Time and place:

  • Time (lecture): Thursday, 9:30 - 12:30
  • Time (exercise): Thursday, 13:30 - 15:30

  • Place (lecture): Amphi Cauchy (Sep 8,15,22), Amphi Faurre (Sep 29, Oct 06) at Ecole Polytechnique
  • Place (lecture): Amphi Lagarrigue (Oct 13) at Ecole Polytechnique
  • Place (exercise): Amphi Curie (Sep 8) at Ecole Polytechnique
  • Place (exercise): Amphi Gregory (Sep 15,22,29, Oct 6) at Ecole Polytechnique
  • Place (exercise): Amphi Lagarrigue (Oct 13) at Ecole Polytechnique

♦Contents:

  1. Banach spaces, duality, weak convergence
  2. Convex analysis, existence of minimizers
  3. Optimality conditions
  4. Algorithms
A more detailed list of contents and references can be found here.


♦Short bibliography:

  • BONNANS J., Optimisation continue, Mathématiques appliquées pour le Master / SMAI, Dunod, Paris (2006).
  • NOCEDAL J., WRIGHT S., Numerical optimization. Second edition. Springer Series in Operations Research and Financial Engineering. Springer, New York (2006).

♦Exercises:

Every week the new exercise sheet is posted on this web page. The solutions are posted one week later.


♦Written exam:

  • Information will follow.

♦Contact:








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