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Numerical Optimization: Lecture Notes

Illustration of the Frank-Wolfe algorithm for solving a constrained non-linear optimization problem.

Credit: Image adapted from a figure by Christopher Griffin and is licensed under CC BY-NC-SA 3.0 US

Resource Description

This is a set of lecture notes for MATH 555, Penn State's graduate Numerical Optimization course. Numerical Optimization is the study of maximizing or minimizing functions through numerical techniques. Generally, it's rare to optimize anything other than through numerical techniques (unless of course you're talking about something really simple). Numerical optimization is used every day and is built on techniques from multi-variable calculus, optimization theory (obviously) numerical linear algebra (for algorithm efficiency) and other branches of mathematics.

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