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Landelijk Netwerk Mathematische Besliskunde

Course IPM: Interior Point Methods

 
Time: Monday 15.15 – 17.00 (September 13 - November 15).
Location: All LNMB courses will be taught on-line until further notice. Upon registration for a course, students receive a link for the video connection.
Lecturer: Prof.dr. E. de Klerk (Tilburg University).

Course description:
The field of optimization, particularly linear, convex and semi-definite optimization, has been given a new impulse by the development of interior point methods. Besides the existence of a new theory, there is a tremendous activity in new applications, especially in semi-definite programming.
The topics for this course include:
- interior-point methods for conic programming;
- classical duality theory for conic programming;
- symmetric cones;
- primal-dual interior-point algorithms;
- semidefinite programming;

Literature:
- Main course notes (students: please buy or borrow this book before the course starts. If you order the book from Amazon.com, then allow enough time for delivery).
- James Renegar, “A Mathematical View of Interior-Point Methods for Convex Optimization”.
MPS-SIAM Series on Optimization, Philadelphia (2001).
- Additional course notes:
Stephen Boyd and Lieven Vandenberghe. Convex Optimization, Cambridge University Press (2004)
Available online: http://www.stanford.edu/~boyd/cvxbook/

Prerequisites:
Basic knowledge (bachelor level) of analysis (multivariate calculus) and linear algebra, as well as a first course in linear and nonlinear programming.

Examination:
Take home problems.

Website for the course: Interior Point Methods

Coordinates of the lecturer:
Prof.dr. E. de Klerk
Department of Econometrics & Operations Research, Tilburg University, P.O. Box 90153, 5000 LE Tilburg.
Phone: 013 - 4662031.
E-mail: e.deklerk@uvt.nl