email me

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Instructor: Michael Navon
Office: Love Building Room 107
Phone: (850) 644-6560
E-mail: navon@csit.fsu.edu
Office Hours: TTH 10:00AM-12:30AM;
URL: http://www.csit.fsu.edu/~navon

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Syllabus.pdf

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Stationary Points Example

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Useful optimization books and web sites

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Positive definiteness of a Hessian Matrix Example

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Proof of quadratic rate of convergence of Newton Method

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Secant method and its convergence rate

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Fibonacci numbers and Computer algorithms: reading material

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Example code of Fibonacci unimodal function extremum bracketing code

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The Wolfe step size conditions reading material

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Parabolic interpolation reading material and example code

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Steepest Descent convergence rate and Kantorovich inequality reading material

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Quasi-Newton presentation reading material

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Quasi-Newton Theoretical presentation reading material

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IMSL Optimization Library Contents and description: reading material

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How to use NAG F77 Library on aspen.csit.fsu.edu CSIT Computer: Documentation-New!!!

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Introductory Chapter to Optimization Section in NAG F77 Library on aspen.csit.fsu.edu CSIT Computer: Documentation-New!!!

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Use of NAG F77 Library example on aspen.csit.fsu.edu CSIT Computer: Documentation-New!!!

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Typical Optimization Routine Documentation in E04 chapter of NAG F77 Library example on aspen.csit.fsu.edu CSIT Computer: Documentation-New!!!

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Quasi-Newton DFP and BFGS for February 11: reading material

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Quasi-Newton summary DFP and BFGS for February 11: reading material

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Unconstrained Minimization Paper of J. Nocedal: reading material

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Matlab code for Cholesky factorization of modified Newton method

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Fortran code for LU factorization for modified Newton method

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Fortran code for Newton method

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Matlab code for Trust region method Newton method

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Matlab code for solver of Trust region method Newton method

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Matlab code for Wolfe line search method

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Matlab code for Wolfe line search method.Main program

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Matlab code for Armijo line search with backtracking method.

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Fortran example code for DFP Quasi-Newton method with line search.

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Fortran example code for Fletcher Reeves nonlinear Conjugate Gradient method .

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Fortran example tar file code for Polak Ribiere CG+ nonlinear Conjugate Gradient method .

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Fortran example code for BFGS Quasi-Newton method with line search.Homework 10

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Numerical Recipes sample pages for DFP Quasi-Newton method with line search.

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Reading Material: Trust region method.

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Reading Material:Liu and Nocedal 1989 paper on Limited Memory Quasi-Newton Method L-BFGS.

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Reading Material:Conjugate gradient Theory.

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Reading Material:Shanno Phua Material for CONMIN Theory.

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Reading Material:Beale restarts for nonlinear conjugate gradient method.

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Reading Material:Karush Kuhn Tucker theory for constrained optimization.

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Reading Material:Sensitivity of Lagrange multipliers theory for constrained optimization.

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Reading Material: Bertsekas lecture on penalty method:constrained optimization.

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Fortran code implementing interior penalty method:constrained optimization.

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Tar file of L-BFGS-B Nocedal et al code for bound constrained optimization.

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Theory of L-BFGS-B Nocedal et al code for bound constrained optimization.

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Documentation of L-BFGS-B Nocedal et al code for bound constrained optimization.

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Reading Material: Bertsekas lecture on Augmented Lagrangian Lemma.

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Tar file for Limited Memory L-BFGS Fortran code.Use tar-xvf to untar the file.

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Output file of Limited Memory L-BFGS Fortran code run.

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Conjugate gradient complementary material reading assignment.

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Documented FORTRAN code example of NASH Truncated Newton method for large-scale unconstrained minimization.

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Example of Numerical Optimization mid-term examination.

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Example of driver routine with history for IMSL UMCGG routine.

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Paper on NEOS application and portfolio optimization.

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Basic paper on portfolio Optimization .

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Luksan Vlcek code 811 documentation for nondifferentiable optimization.

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Modulopt French library information for users for nondifferentiable optimization.

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Modulopt French library information bundle algorithm for users of nondifferentiable optimization.

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Paper on variable metric bundle algorithm by Lemarechal and Claudia Sagastizabal for users of nondifferentiable optimization.

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Fortran code for bundle algorithm for nondifferentiable optimization.

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Paper by Young Scholar on Global Optimization using simulated annealing .

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Documentation on solving Traveling Salesman problem using simulated annealing .

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Fortran code on solving Traveling Salesman problem using simulated annealing .

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Fortran code on solving continuous minimization problems using simulated annealing .

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TOMS documentation paper on Corana method for minimization with continuous variables using simulated annealing .

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Description of Genetical Algorithms as method for global Optimization)

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Description of D.L. Carroll's FORTRAN Genetic Algorithm Driver

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Tar file of code of D.L. Carroll's FORTRAN Genetic Algorithm

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Tutorial of Paul Charbonneau/NCAR on Genetic Algorithms

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Tutorial of Darrell Whitley(Colorado State University) on Genetic Algorithms

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Homework 1 For Numerical Optimization due January 19,2004

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Homework 2 For Numerical Optimization due January 26,2004

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Homework 3 For Numerical Optimization due January 30,2004

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Homework 4 for Numerical Optimization due February 4,2004(Fibonacci algorithm)

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Homework 5 for Numerical Optimization due February 6,2004(Steepest Descent algorithm )

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Homework 6 for Numerical Optimization due February 9 ,2004(Convergence rate of the Steepest Descent algorithm )

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Homework 7 for Numerical Optimization due February 13 ,2004( (Modified Newton method with Armijo line search)

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Homework 8 for Numerical Optimization due February 16 ,2004( (DFP Quasi- Newton method with Armijo line search)

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Homework 9 for Numerical Optimization due February 18 ,2004( (Prove Sherman-Morrison-Woodbury Formula.)

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Homework 10 for Numerical Optimization due February 20 ,2004(Test BFGS Q-N code on difficult Woods problem .)

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Homework 11 for Numerical Optimization due February 26 ,2004(Flowchart and test L- BFGS Q-N code on difficult Woods problem .)

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Homework 12 for Numerical Optimization due March 03 ,2004(Conjugate gradient implementing F-R , P-R and Powell variants of C-G code on difficult Woods problem .)

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Homework 13 for Numerical Optimization due March 08 ,2004(Application of the Nash Truncated Newton method and study of its properties .)

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Homework 14 for Numerical Optimization due March 10 ,2004( Equality constrained optimization)

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Homework 15 for Numerical Optimization due March 23 ,2004( Constrained optimization)

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Homework 17 for Numerical Optimization due March 28 ,2004( Constrained optimization-Penalty Method)

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Homework 18 for Numerical Optimization due March 31 ,2004( Constrained optimization-Augmented Lagrangian Method)

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Homework 19 for Numerical Optimization due April 7 ,2004( Constrained optimization using NAG routine e04ucf based on Sequential Quadratic Programming. )

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Homework 20 for Numerical Optimization due April 11 ,2004( Constrained optimization Use of L-BFGS-B for simple bound constraints based on projected gradient method. See help and tips.)

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Homework 21 for Numerical Optimization due April 11 ,2004( Portfolio Optimization See help and tips.)

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Homework 22 for Numerical Optimization due April 16 ,2004( non-differentiable Optimization) See help and tips.)

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Homework 23 for Numerical Optimization due April 16 ,2004(Simulated Annealing as method for global Optimization) See help and tips.)

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Homework 24 for Numerical Optimization due April 16 ,2004(Genetical Algorithms as methods for global Optimization) See help and tips.)

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MID TERM EXAM FOR NUMERICAL OPTIMIZATION .)

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FINAL EXAM FOR NUMERICAL OPTIMIZATION 2004.)

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