About The Course

IE 609, Mathematical Optimization Techniques

&
IE 601, Optimization Techniques

August 07, 2020

Both IE601 and IE609 are the same in terms of course content. IE 601 is being phased out, and
is offered this semester only for IEOR MSc-PhD 2019 batch. All other students should register for
IE 609.

Course Website Moodle

Class Hours Slot 5 (WF 9:30-11:00AM)
Class Room Microsoft Teams
Teaching Assistants Mustafa Vora, mustafa.vora@iitb.ac.in
Anand Singh, anandsinghchauhan@iitb.ac.in
Dasari Jeevan Swaroop, 18i190005@iitb.ac.in
Anupam Singh, anupamsingh@iitb.ac.in
Rahul Khankar, 193190008@iib.ac.in
Luther Immanuel, lutherimmanuel@iitb.ac.in
Instructor Ashutosh Mahajan, amahajan@iitb.ac.in, Ph: x-9418, Room 104, IEOR Building

Objectives
Main objectives of the course are

1. To learn algorithms for solving linear and nonlinear mathematical optimization problems

2. To understand the theory of when and why these techniques work, i.e., they find a ‘provably
optimal’ solution

3. To understand main difficulties in solving these problems

Main Topics To Be Covered

Following topics will be covered in the lectures

1. Nonlinear Unconstrained Optimization: steepest descent, Newton’s Method, Quasi-Newton

Methods, Conjugate Direction Methods, Trust Region Methods

2. Linear Optimization and the Simplex Method

3. Theory of Constrained Optimization

1
 4. Quadratic Optimization

5. Nonlinear Optimization: Penalty Functions, Sequential Quadratic Programming

6. Introduction to Integer Optimization

Following topics will be not be covered in this course: Applications of optimization; Use of modeling
and solving software; Optimization under uncertainty; Large scale optimization; Optimization over
networks and graphs; Heuristic approaches

Prerequisites
Students are expected to have prior exposure to modeling or solving optimization problems (linear
programs or network flows or combinatorial optimization etc.). Students should also be comfortable
in writing mathematics and analysis.

Text Book
Practical Methods of Optimization, R. Fletcher (2nd Edition)
(https://www.amazon.in/Practical-Methods-Optimization-2ed-Fletcher/dp/8126524251)
or
(https://www.amazon.in/Practical-Methods-Optimization-2nd-Fletcher/dp/8126567902)
Both the versions of the book seem to be identical, and any one would suffice. We will follow
this book extensively throughout the semester. Please procure a copy. There will be assignment
questions directly from this book.

Software
We will use Scilab (https://www.scilab.org) for implementing simple versions of the algorithms
discussed in the lectures. All students should install Scilab 6.1 on their laptop or computer. Some
assignments will require coding in Scilab.

Other References

1. Linear Programming and Network Flows, Bazaraa, Jarvis and Sherali (2nd Edition) (https:
//www.amazon.in/Linear-Programming-Network-Flows-2ed/dp/8126518928)

Many other good books are available, but are expensive or not so easy to procure in In-
dia.

2. Robert J. Vanderbei, Linear Programming: Foundations and Extensions, Springer, 2014.

3. Dimitris Bertsimas and John N. Tsitsiklis. Introduction to Linear Optimization. Athena

Scientific.

4. George B. Dantzig and Mukund N. Thapa. Linear Programming 2: Theory and Extensions.
Springer, 2003.

5. Jorge Nocedal and Stephen Wright. Numerical Optimization. 2nd Edition. Springer, 2006.

Lectures
I will try to post recordings of lectures a few days in advance. These posts will also have suggested
text from the textbook.

Live Interaction

2
We will have about one hour of live interaction every week. Students are encouraged to raise
questions about the lectures posted and clear doubts in this interaction. Examples can be worked
out in these sessions. Recordings will be available online for later use.

Grading
The following is the tentative breakup of the final score.
Assignments 15%
Quiz 3%
Attendance 2%
Exam 80%
Above will possibly get revised in about two weeks, once we get used to the new way of learning
and grading.

Assignments
We will have a few assignments. Students are required to attempt the assignment problems on their
own. They are allowed to discuss with others. Any help (from fellow students, online resources etc)
must be mentioned clearly in the assignment. The solutions must be written by students
themselves in their own words and using their own notation, without copying from
anyone else.

Clarity of expression should not be sacrificed for the sake of space. Remember that instructors and
graders can only grade assignments based on what is written and not what is in student’s thoughts.

Some assignments are allowed to be done in groups of at most two.

Quiz
There will be a short online quiz or two every week.

Exam
Details of exam will be announced later, some time in September. Depending on the existing
circumstances, weightage may change.

Outside Class
Students are encouraged to ask questions over Moodle. Emailing questions to the instructor or
TAs is not recommended. Posting questions on MS Teams about the course material is also not
recommended. MS Teams will be used only for live interactions. Please do not upload files etc
there.