Nonlinear Programming

OA4201 Winter 2013

OA4201 is the third of three required optimization courses (Linear Programming, Network Flows and Graphs, and
Nonlinear Programming). Primary course objectives are to learn how to formulate and solve real-world nonlinear
programs using commercial solvers, develop an understanding of nonlinear programming algorithms, theory, and
associated analysis techniques, and obtain a broad knowledge of optimization algorithms for various classes of
problems.

INSTRUCTOR: Prof. Emily Craparo

OFFICE: Glasgow 238
EMAIL: emcrapar@nps.edu
COURSE WEBSITE: https://cle.nps.edu/
TEXTS: Nonlinear Programming, 2e, Dimitri P. Bertsekas
Convex Optimization, Stephen Boyd and Lieven Vandenberghe
Selected readings from other sources

COURSE CONDUCT: Lectures will take place Mondays and Wednesdays, 1500-1650 PST in GL-110.
Lab sessions will be held approximately weekly at a location to be announced. Some assignments may be distributed
and collected via the course website.

OFFICE HOURS: Thursdays and Fridays 1400-1500, or by appointment.

TOPICS TO BE DISCUSSED: Classification of optimization problems and associated algorithms. Modeling and
solution of real-world (mixed-integer) nonlinear programs. Min-max and Benders’ decomposition. Heuristic
algorithms. Convexity. Unconstrained nonlinear optimization: optimality conditions and algorithms. Gradient and
Newton’s methods. Line search and step size rules. Constrained nonlinear optimization: optimality conditions and
algorithms. Feasible and descent directions. Lagrange multiplier theory and algorithms. Duality theory.

HOMEWORK: There will be no regularly graded homework. Instead, practice problems and solutions will be
posted roughly weekly so you can practice material covered in class and explore topics more deeply. Practice
problems will not be collected, but there will be a brief in-class quiz every 1-2 weeks on concepts covered in the
practice problems. Some take-home assignments will also be given, collected, and graded.

COLLABORATION: You are encouraged to learn with and from your peers. Unless otherwise stated, you may
collaborate on all take-home assignments. However, you must write up your own individual solutions, and you
must understand (and be able to explain) everything you submit. Use of “copy-and-paste” and modification of
other students’ files are not considered individual write-up. Construct your GAMS models and any other
electronic submissions directly from the templates I provide or from blank files of the appropriate format. If you
choose to collaborate on a homework assignment, list your collaborators on your solution page.

Collaboration on exams and quizzes is a violation of the NPS Student Honor Code
and carries penalties described therein.

EXAMS: There will be two midterm exams tentatively scheduled for February 1 and March 1 and a 2-hour final
exam scheduled for Thursday, March 21 at 0800 in GL-110.

GRADING:
In-class quizzes and take-home assignments 20%
Exam 1 25%
Exam 2 25%
Final exam 30%