Universität Wien

040914 UK Applied Optimization (2018W)

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

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: German

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 02.10. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 09.10. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 16.10. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 23.10. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 30.10. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 06.11. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 13.11. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 20.11. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 27.11. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 04.12. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 11.12. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 08.01. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 15.01. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 22.01. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 29.01. 09:45 - 11:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.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 4 December 2018, and

end term, on Tuesday 15 January 2019

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

Vorlesungsunterlagen

Bazaraa, M.S., Sherali, H.D., Shetty, C.M.: Nonlinear Programming: Theory and Algorithms, Wiley

Association in the course directory

Last modified: Mo 07.09.2020 15:29