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040914 UK Applied Optimization (2017W)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 30 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 03.10. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 10.10. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 17.10. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 24.10. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 31.10. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 07.11. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 14.11. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 21.11. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 28.11. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 05.12. 16:45 - 18:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 12.12. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 09.01. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 16.01. 16:45 - 18:15 Hörsaal 4 Oskar-Morgenstern-Platz 1 Erdgeschoß
  • Tuesday 23.01. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 30.01. 16:45 - 18:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

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

Assessment and permitted materials

(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 5 December 2017, 16:50-18:10 (net working time, please arrive by 16:40), location different from regular course hall: Hoersaal 11, 2nd floor); and

end term, on Tuesday 16 January 2018, 16:50-18:10 (net working time, please arrive by 16:40), location different from regular course hall: Hoersaal 4, ground 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.

Minimum requirements and assessment criteria

Examination topics

Reading list

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!

Association in the course directory

Last modified: Mo 07.09.2020 15:29