Universität Wien
Achtung! Das Lehrangebot ist noch nicht vollständig und wird bis Semesterbeginn laufend ergänzt.

040914 UK Applied Optimization (2016W)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Prüfungsimmanente Lehrveranstaltung

An/Abmeldung

Hinweis: Ihr Anmeldezeitpunkt innerhalb der Frist hat keine Auswirkungen auf die Platzvergabe (kein "first come, first served").

Details

max. 30 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

  • Dienstag 04.10. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 11.10. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 18.10. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 25.10. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 08.11. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 15.11. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 22.11. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 29.11. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 06.12. 16:45 - 18:15 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Dienstag 13.12. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 10.01. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 17.01. 16:45 - 18:15 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Dienstag 24.01. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 31.01. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

Contents:

1. Geometric foundations of duality

1.1 Convexity and minimal distance projection
1.2 Properties of the minimal distance projection
1.3 Separation of convex sets
1.4 Supporting hyperplane and Farkas' Lemma

2. The concept of duality in optimization

2.1 Lagrange duality for constrained optimization problems
2.2 Duality gap, quality guarantee, and complementary slack
2.3 Minimax, saddle points, and optimality conditions
2.4 Convex problems: Slater condition, Wolfe dual

3. Practical aspects of duality in optimization

3.1 Linear and quadratic optimization
3.2 Ascent directions for the dual function
3.3 Dual (steepest) ascent method
3.4 (Dual) cutting planes
3.5 Duality for discrete problems; branch-and-bound

Art der Leistungskontrolle und erlaubte Hilfsmittel

(1) presence during the course is compulsory and will be awarded by up to 5 points;

(2) presentation of an exercise (from the lecture notes, to be prepared in advance) is optional/voluntary and will be awarded by up to 15 points;

(3) there are two compulsory written tests:

mid-term, on Tuesday 6 December 2016, 16:50-18:10 (net working time, please arrive by 16:40), location different from regular course hall: Hoersaal 6, 1st floor); and

end term, on Tuesday 17 January 2017, 16:50-18:10 (net working time, please arrive by 16:40), location different from regular course hall: Hoersaal 6, 1st floor).

Each test can be awarded by up to 50 points.

Mode: open-book test. Electronic calculators admitted, no cell phones (flight or offline mode). Net working time: 80 minutes, which will be tight, so I suggest to prepare well (from experience, you will lack time to look up too many things in books during exam).

(4) To pass the exam/course successfully, you need 53 points.

Mindestanforderungen und Beurteilungsmaßstab

Prüfungsstoff

Literatur

Lecture Notes (by and available with Immanuel Bomze) should be sufficient for covering the material of the course. If you desire (much) more, you may consult

http://eu.wiley.com/WileyCDA/WileyTitle/productCd-0471486000.html

which also contains a useful Mathematical Review Appendix. Take care: parts of the course material is not included in this textbook!

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Mo 07.09.2020 15:29