Optimisation Methods

Lecturer:

Jan Štecha (gar.)

Tutor:

Jan Štecha (gar.)

Supervisor:

Department of Control Engineering

Synopsis:

Optimization theory is used in many applications in engineering, economy,.. The course covers problems of static and dynamic optimization. Least squares problem, total least squares modification of the problem, numerical methods of solution, applications. Numerical methods of optimisation with and without constraints. Statistical optimisation methods, Chernoff bound, Vapnik/Chervonenkis dimensions, Monte Carlo methods, theory of learning, Interior point methods, Semidefinite programming.

Requirements:

Syllabus of lectures:

Syllabus of tutorials:

Study Objective:

Study materials:

1) S Boyd, L. Vandenberghe: Convex Optimization, Cambridge University Press,

2004.

2) J. Nocedal, S. Wright: Numerical Optimization, Springer Series in

Operations Research, 1999 Springer-Verlag New York.

3) E. Polak: Optimization, Algorithms and Consistent Approximation, 1997

Springer-Verlag New York.

Note:

Time-table for winter semester 2011/2012:

Time-table is not available yet

Time-table for summer semester 2011/2012:

Time-table is not available yet

The course is a part of the following study plans: