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Prof. Richard VanSlyke
Fall 2004, Tue. 6:00- 8:15PM
This special topics course will survey theory, modeling, computation, and applications associated with mathematical techniques of optimization. We will begin with linear programming. The standard and canonical forms will be covered first, followed by the techniques used to convert more general problems into these forms. Duality and the simplex method will be covered next. We will cover the computational aspects of the simplex method to complete the first part of the course. In the last part of the course we will cover extensions of linear programming. The topics covered will be chosen from quadratic, stochastic, integer, non-linear, interior point programming and/or particular classes of applications depending on the interests of the class. Financial applications will be emphasized. This course is open to graduate students and undergraduates in their junior or senior year who have a good background in linear algebra and matrix theory. Each student will be expected to carry out a project, which can be in theory, modeling, computation, or an application of mathematical programming. Students will be provided access to open source and other free optimization software that they can use for future projects and applications.