390 027 DK PhD-M: Advanced Optimization

Lecturer: Andreas J. Novak (e-mail: andreas.novak@univie.ac.at,
www: http://homepage.univie.ac.at/andreas.novak)
Place/Time: Tuesday, 11:30 - 13:00, SR 13
preliminary discussion: March 1^st, 2016

15 Dates: 1.3., 8.3., 15.3., 5.4, 12.4., 19.4., 26.4., 3.5., 10.5., 24.5., 31.5., 7.6., 14.6., 21.6., 28.6.

Mid term exam: May 10^th 2016, Final exam: June 21^st 2016, 11:30-13:00 SR 13

Results/preliminary grading

Examples for next course (June 28th): 3.8, 3.9, 3.10, 3.11

Collection of Exercises: Exercises I

Slides: Slides I , Slides II , Slides III ,

Contents:

Dynamic Programming (Bellmann Principle),
nonlinear optimization (Kuhn Tucker),
Optimal Control Theory,
Differential Games

Literature:

Hillier, Liebermann: "Introduction to Operations Research"
Feichtinger, Hartl: "Optimale Kontrolle ökonomischer Prozesse"
Grass, Caulkins, Feichtinger, Tragler, Behrens: "Optimal Control of Nonlinear Processes",
Nemhauser, Wolsey: "Integer and Combinatorial Optimization"

During the class I give an introduction into the basic principles of dynamic optimization, nonlinear optimization and optimal control theory. Students are requested to solve exercises in advance and to present it in class.

Grading is based on:

Percentage of prepared exercises (max: 100 points, weight: 0.20)
Presentation of exercises (max: 100 points, weight: 0.20)
2 Exams (maximum score for each exam: 100 points, weight: 0.30 each)

Total Score = weighted sum of points
Grading key:
                                         51-63 points:   "genügend"
                                         64-75 points: "befriedigend",
                                         76-87 points: "gut",
                                         88-100 points: "sehr gut".