Prof. Tamas Terlaky will give a PhD course on “Modern convex optimization: Duality, Algorithms, Solutions and Interpretations ”

Lectures will be offered on Tuesday June 18, Wed June 19, Thu June 20, Fri June 21 from 10:30 to 13:00 in room 107, via di Santa Marta 3, Firenze.

Abstract

Optimization methodology is the engine of prescriptive analytics. This short course gives a gentle, rigorous introduction to modern convex optimization models and algorithms.
Duality provides optimality conditions and serve as the platform of algorithm design.
First we focus on duality in linear optimization (LO) and convex conic linear optimization (CLO) problems.
CLO includes the LO, second order conic and semidefinite optimization problems, which are solvable by Interior Point Methods (IPMs) in polynomial time, and also the NP-hard classes of copositive and completely positive CLO problems. Robust LO models will motivate the introduction of second order conic optimization problems.
Then algorithmic concepts, such as pivot algorithms and interior point methods (IPMs) are discussed.
Initialization of the algorithms, the computational cost and efficient computation of an iterative step, and characteristics of the produced optimal solutions are discussed.
As time allows we shortly available software packages, sensitivity analysis, and some applications will be discussed.

Note:
Preliminary knowledge of optimization, operations research models and methods is a plus, but everyone with good linear algebra and multi-dimensional calculus skills should be able to follow the course.

PS: if you wish to be informed on the intiatives of the PhD program in Information Engineering, please refer to the official website, where a calendar is also available