Math 923 - Numerical Methods for Continuous Optimization
Text
J.E. Dennis & R.B. Schnabel,
Numerical Methods for Unconstrained Optimization
and Nonlinear Equations.
Prentice Hall. Reprinted by SIAM Classics.
Outline
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Nonlinear Problems in One Variable.
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Numerical Linear Algebra Background.
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Multivariable Calculus Background.
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Newton's Method.
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Modifications of Newton's Method.
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Line Search
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Trust Regions
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Secant Methods for Nonlinear Equations.
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Secant Methods for Unconstrained Minimization.
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Nonlinear Least Squares.
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Practical Implementation Issues -- Stopping, Scaling, Testing.
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Methods for Problems with Special Structure.
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Constrained Optimization.