Optimization
Optimering

FMAN61F, 7.5 högskolepoäng

Gäller från och med: Autumn 2021
Beslutad av: Professor Thomas Johansson
Datum för fastställande: 2021-09-07

Allmänna uppgifter

Avdelning: Mathematics
Kurstyp: Gemensam kurs, avancerad nivå och forskarnivå
Kursen ges även på avancerad nivå med kurskoder: FMAN61, MATC61
Undervisningsspråk: English

Syfte

In many applications of mathematics, e.g. image analysis, control theory and time series analysis, an essential step is to choose the parameters in a model so that it fits given data as well as possible. One wants to minimize the error, measured in some way, which may be considered as a function of several variables – the parameters – that may have to satisfy further conditions – constraints. The aim of the course is to make the doctoral student familiar with the most common methods for solving optimization problems in which the parameters may vary continuously.

Mål

Kunskap och förståelse

För godkänd kurs skall doktoranden

• in his/her own words, be able to describe the optimization algorithms, for problems with and without constraints, encountered in the course, and their properties.
• be able to outline those the theory of convex sets and convex functions that is included in the course, and be able to state and derive the most important theorems on convexity.
• be able to give examples of how to to make use of convexity in the treatment of an optimization problem.
• be able to outline the Kuhn-Tucker Theory and be able to state and derive the most important theorems therein.

Färdighet och förmåga

För godkänd kurs skall doktoranden

• be able to demonstrate an ability to solve optimization problems within the framework of the course.
• be able to demonstrate an ability to handle optimization problems using a computer.
• be able to demonstrate an ability to, in the context of problem solving, develop the theory somewhat further.
• be able to describe the connections between different concepts in the course, with proper terminology and in a well structured and logically consistent manner,.
• with proper terminology, suitable notation, in a well structured way and with clear logic be able to describe the solution to a mathematical problem and the theory within the framework of the course.

Kursinnehåll

Quadratic forms and matrix factorisation. Convexity. Separatting planes and Farkas' lemma. The theory of optimization with and without constraints: Lagrange functions, Kuhn-Tucker theory. Duality. Methods for optimization without constraints: line search, steepest descent, Newton methods, conjugate directions, non-linear least squares optimization. The Nelder-Mead search method without derivatives. Methods for optimization with constraints: linear optimization, the simplex method, quadratic programming, penalty and barrier methods.

Kurslitteratur

Böiers, L.: Mathematical Methods of Optimization. 2010. ISBN 9789144070759.

Kursens undervisningsformer

Undervisningsformer: Föreläsningar, seminarier, laborationer, övningar

Kursens examination

Examinationsformer: Skriftlig tentamen, skriftlig rapport. Programming exercise with written report.
Betygsskala: Underkänd, godkänd
Examinator:

Antagningsuppgifter

Förutsatta förkunskaper: Calculus and linear algebra. Sufficient background is provided, e.g., by the courses FMAA05, FMA430, and FMAF05 or FMAF10.

Övrig information

Replaces FMAN60F.

Kurstillfällesinformation

Kontaktinformation och övrigt

Kursansvariga:
Hemsida: http://www.maths.lth.se/course/bigopt/