SIAM Conference on Optimization, May 20-22, 2002, Westin Harbour Castle Hotel, Toronto, CA

SIAM Short Course on Numerical Optimization

Sunday, May 19, 2002
Westin Harbour Castel Hotel, Toronto, Canada


Robert J. Vanderbei, Princeton University


In recent years there has been a growing interest in efficient algorithms for nonlinear programming (NLP). This interest has led to the development of several computer codes, which have proved very successful in solving broader classes of problems than ever before. Success in solving difficult NLPs depends both on the choice of algorithm and the manner in which the problem is formulated. In this short course, we will survey these recent developments. Topics will include various implemented algorithms, good and bad modeling techniques, and the growing importance of modeling languages. Explicit instruction in modeling various classes of problems will be provided. Comparative results for several algorithms will be presented with an analysis of the strengths and weaknesses of each.


Who Should Attend?

Recommended Background

A basic knowledge of

Detailed Outline

  1. Algorithms for NLP
    1. Sequential Quadratic Programming Methods
    2. Reduced Gradient Methods
    3. Interior-Point Methods
  2. Algorithmic Issues
    1. Convex vs. Nonconvex Problems
    2. Line Search vs. Trust Regions
    3. Merit Functions vs. Filters
    4. Infeasibility Detection
  3. More Algorithm Issues
    1. Starting Points
    2. Honoring Bounds
    3. Jamming
  4. Modeling Front End---AMPL
    1. A Brief Language Tutorial
    2. Automatic Differentiation
    3. Hooking YOUR Solver to AMPL
  5. Modeling Matters
    1. AMPL vs. Subroutine
    2. 1010
    3. Differentiability
    4. Convex vs. Nonconvex
    5. Compact vs. Expanded Representation
  6. Beauty Contest---Algorithms will be compared on multiple criteria:
    1. Poise
    2. Charm
    3. Talent
    4. Swimsuit Competition
  7. Second Order Cone Programming
    1. Models
    2. Algorithms
  8. Semidefinite Programming
    1. Models
    2. Algorithms



8:00 - 8:30 Registration and Welcoming Remarks

8:30 - 9:15 1. Algorithms for NLP

9:15 - 10:00 2. Algorithmic Issues


10:30 - 11:15 3. More Algorithm Issues

11:15 - 12:00 4. Modeling Front End---AMPL


12:00 - 1:15 Lunch

1:15 - 2:00 5. Modeling Matters

2:00 - 2:45 6. Beauty Contest

2:45 - 3:15 Coffee

3:15 - 4:00 7. Second Order Cone Programming

4:00 - 4:45 8. Semidefinite Programming



Seats are limited. We urge attendees to register in advance. To register, please complete the online Preregistration Form (available shortly) and submit to SIAM. Registration fee for the course includes course notes, coffee breaks, and lunch on Sunday, May 19.


This short course will be in Toronto. The coffee breaks will be in Lobby; lunch will be somewhere.

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