Syllabus
Constrained optimization theory (Lagrange multipliers, necessary and sufficient conditions), linear programming and the simplex method, basics of algorithms for constrained optimization, quadratic programming, penalty methods and extended Lagrangian methods, sequential quadratic programming, interior point methods.
Annotation
Theory of constrained optimization and fundamentals of algorithms for nonlinear constrained optimization.
The course deals with numerical optimization methods for solving problems of linear, quadratic, and sequential quadratic programming. Students will test the algorithms practically during the exercise.