Numerical Methods and Introduction to Optimization

Course content

Finite precision arithmetic and numerical errors. Solution of linear system of equations. Numerical solution of nonlinear equations, interpolation, numerical differentiation and integration. Basic concepts of optimization, local and global optimality, convexity. Optimality conditions for unconstrained optimization; method of steepest descent, Newton s method, conjugate direction methods; least-squares solutions. Optimality conditions for problems with equality and inequality constraints; method of Lagrange multipliers and penalty function method.