040 434/1 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: Wednesday, 14.00-16.00, HS 9
preliminary discussion: March 3rd, 2009

Dates: 3.3., 10.3., 17.3., 24.3., 14.4., 21.4., 28.4., 5.5., 12.5., 19.5., 26.5., (2.6.), 9.6., 16.6., 23.6., 30.6.

Mid term exam: April 28th, Final exam: June 23rd

Results/preliminary grading

Examples for next course: 3.7, 3.8, 3.9, 3.10, 3.11

Collection of Exercises: Exercises I Exercises II Exercises III Exercises IV

Slides: Slides I , Slides II , Slides III , Slides IIIa ,

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 should present examples they prepared at home as exercise. Moreover students will develop and analyze their own models within their areas of interest as a research project.

Grading is based on:

Classroom exercises: Students are requested to solve exercises in advance and to present it in class.
2 Exams (maximum score for each exam: 100 points)

Total Score = (percentage of prepared examples + points of exams)/3
Grading key:
                                         51-63 points:   "genügend"
                                         64-75 points: "befriedigend",
                                         76-87 points: "gut",
                                         88-100 points: "sehr gut".