MATH0461-2 — Introduction to Numerical Optimization, Fall 2020

General information

• The instructor is Prof. Quentin Louveaux.
• The teaching assistants are Mathias Berger (all problem sets + project) and Adrien Bolland (problem sets 1-4 + project).
• The textbooks are Introduction to Linear Optimization, Athena Scientific, D. Bertsimas and J. Tsitsiklis, 1997, and Introduction à l'optimisation différentiable, M. Bierlaire, Presses Polytechniques et Universitaires Romandes, 2006.
• Lectures and exercise sessions will take place on Thursdays, from September 17 to December 17. Classes start at 1:30 PM in B28/R7 (Montefiore), while exercise sessions start at 3:45 PM. Below is a tentative schedule:

  Date	Lecture	Exercise Session
  17/09/2020	Intro	/
  24/09/2020	LP Primal	PS1
  01/10/2020	LP Dual	PS2, solutions and note on primal simplex initialisation
  08/10/2020	LP Sensitivity	PS3 and solutions
  15/10/2020	Convexity/KKT	PS4 and solutions
  22/10/2020	Conic Programming	Intro. project
  29/10/2020	Conic Programming Applications	PS5 and solutions
  05/11/2020	Fall Break	Fall Break
  12/11/2020	Conic Programming Applications	PS6 and solutions
  19/11/2020	Interior Point Algorithms	PS7 and solutions
  26/11/2020	Descent Algorithms	PS8 and solutions
  03/12/2020	Autodiff. + Derivative-free	PS9 and solutions
  10/12/2020	Project Presentation	Project Presentation
  17/12/2020	/	/

• Script and files used in the first exercise session:
  1. script.jl
  2. model.mps