Practical optimization methods. With Mathematica applications
constrained optimization methodseducationKarush-Kuhn-Tucker conditionlinear programmingMathematica packagenonlinear continuous optimizationquadratic programmingunconstrained optimization method
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01) Numerical mathematical programming methods (65K05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01) Linear programming (90C05) Quadratic programming (90C20) Nonlinear programming (90C30) Optimality conditions and duality in mathematical programming (90C46) Interior-point methods (90C51)
The book is a successful attempt to embed the main tools of nonlinear continuous optimization under the software package ``Mathematica. Starting from the problem formulation the author develops a graphic tool for solving two-dimensional problems graphically under Mathematica, discusses the Karush-Kuhn-Tucker condition and solves them for small dimensions exactly by formula manipulation within Mathematica. Here Mathematica opens new possibilities for the direct discussion of optimality conditions. In the following 5 chapters he straightforwardly implements standard optimization routines under the Mathematica interpreter and demonstrates their use at several examples. He considers -- unconstrained methods (steepest descent, CG, Newton, BFGS, DFP with usual and unusual line searches) -- linear programming (simplex, projection to active constraints, interior point methods) -- quadratic programming (several methods) -- Constrained nonlinear problems (normalization of constraints, penalty methods -- augmented Lagrangian included, SLP and SQP with exact penalty as merit function). The reader familiar with optimization is a little bit stressed since the process of iteration is extensively outlined for each example over pages as it is sometimes done in lectures for students. If the reader is familiar with the basic notions and handling of the Mathematica package the book is a wellcome tool to get first acquainted with the basic notions and methods of optimization and its principal behavior. The book is especially written for undergraduates, since all used notions of analysis of several variables and linear algebra are described in Chapter 3. The enclosed CD contains additional computed examples. Further, the given optimization package on CD can be used to solve small optimization problems as long as hard numerical problems cannot be expected. The given implementation is not usable for real life optimization problems, however this was not the intention of the author. All things are handled from the point of heuristic view. Thus the reader does not get much information about the theory behind and he gets only a few hints which methods are good or bad from the numerical point of view. A lot of problems very often with economical and financial background at the end of each chapter make this book also valuable for everyone involved in the education of students.
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