Topics in Applied Math: Introduction to Optimization

Math 5770-001 /6640-001 , 3 credit hours,
Class meets:   09:10-10:30    JTB 320,
Office hours: Th, 10:45-11:45
Fall 2016.

Instructor :  Professor Andrej Cherkaev,  Department of Mathematics 
Office: JWB 225,  Email:,  Tel : 801 - 581 6822

Text: Jorge Nocedal and Stephen J. Wright. Numerical Optimization (2nd ed.) Springer, 2006
Chapters 1, 2, 3, 4, 5, 6, 7, 9, 10, 12,13, 15, 16, 17.

Course is designed for senior undergraduate and graduate students in Math, Science, Engineering, Economics, and Mining
Prerequisite: Calculus, Linear Algebra, Familiarity with elementary programming.
Grade will be based on weekly homework, exams,  and class presentations.


To be posted


    The desire for optima (perfection) is inherent for humans. The search for extremes inspires mountaineers, scientists, mathematicians, and the rest of the human race.

     Search for  Perfection:  An image from  Bridgeman Art Library

    A beautiful and practical optimization theory was developed from the sixties when computers become available. Every new generation of computers allowed for attacking new types of problems and called for new optimization methods. The aims are reliable methods to fast approach the extremum of a function of several variables by an intelligent arrangement of its evaluations (measurements). This theory is vitally important for modern engineering and planning that incorporate optimization at every step of the complicated decision making process.

    This course discusses various direct methods, such as Gradient Method, Conjugate Gradients, Modified Newton Method, methods for constrained optimization, including Linear and Quadratic Programming, and others. We will also briefly review genetic algorithms that mimic evolution and stochastic algorithms that account for uncertainties of mathematical models. The course work includes several homework assignments that ask to implement the studied methods and a final project, that will be orally presented in the class.


    Remarks, Introduction: About the algorithms, Optimization and modeling, Basic rules, Classification

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    Introduction to Optimization

    Everyone who studied calculus knows that an extremum of a smooth function is reached at a stationary point where its gradient vanishes. Some may also remember the Weierstrass theorem which proclaims that the minimum and the maximum of a function in a closed finite domain do exist. Does this mean that the problem is solved?

    A small thing remains: To actually find that maximum. This problem is the subject of the optimization theory that deals with algorithms for search of the extremum. More precisely, we are looking for an algorithm to approach a proximity of this maximum and we are allowed to evaluate the function (to measure it) in a finite number of points. Below, some links to mathematical societies and group in optimization are placed that testify how popular the optimization theory is today: Many hundreds of groups are intensively working on it.

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    Optimization and Modeling

  1. The modeling of the optimizing process is conducted along with the optimization. Inaccuracy of the model is emphasized in optimization problem, since optimization usually brings the control parameters to the edge, where a model may fail to accurately describe the prototype. For example, when a linearized model is optimized, the optimum often corresponds to infinite value of the linearized control. (Click here to see an example) On the other hand, the roughness of the model should not be viewed as a negative factor, since the simplicity of a model is as important as the accuracy.    Recall the joke about the most accurate geographical map: It is done in the 1:1 scale.
  2. Unlike the models of a physical phenomena, an optimization models critically depend on designer's will.  Firstly, different aspects of the process are emphasized or neglected depending on the optimization goal. Secondly, it is not easy to set the goal and the specific constrains for optimization.
  3. Naturally, one wants to produce more goods, with lowest cost and highest quality. To optimize the production, one either may constrain by some level the cost and the quality and maximize the quantity, or constrain the quantity and quality and minimize the cost, or constrain the quantity and the cost and maximize the quality. There is no way to avoid the difficult choice of the values of constraints.  The mathematical tricks go not farther than: "Better be healthy and wealthy than poor and ill". True, still not too exciting.
  4. The maximization of the monetary profit solves the problem to some extent by applying an universal criterion. Still, the short-term and long-term profits require very different strategies; and it is necessary to assign the level of insurance, to account for possible market variations, etc. These variables must be a priori assigned by the researcher.
  5. Sometimes, a solution of an optimization problem shows unexpected features: for example, an optimal trajectory zigzags infinitely often. Such behavior points to an unexpected, but optimal behavior of the solution. It should not be rejected as a mathematical extravaganza, but thought through! (Click here for some discussion.)

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    Basic rules for optimization algorithms

  7. There is no smart algorithm for choosing the oldest person from an alphabetical telephone directory.
  8. This says that some properties of the maximized function must be assumed a priori.  Without assumptions, no rational algorithms can be suggested. The search methods approximate -- directly or indirectly -- the behavior of the function in the neighborhood of measurements. The approximation is based on the assumed smoothness or sometimes the convexity. Various methods assume different types of the approximation.
  9. My maximum is higher than your maximum!
  10. Generally, there are no ways to predict the behavior of the function everywhere in the permitted domain. An optimized function may have more than one local maximum. Most of the methods pilot the search to a local maximum without a guarantee that this maximum is also a global one. Those methods that guarantee the global character of the maximum, require additional assumptions such as the convexity of the objective function.
  11. Several classical optimization problems serve as testing grounds for optimization algorithms. Those are: maximum of an one-dimensional unimodal function, the mean square approximation, linear and quadratic programming.
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    To explain how knotty the optimization problems are, one may try to classify them. I recommend to look at the optimization tree by NEOS.

    Below, there are some comments and examples of optimization problems.

    In any practical problem, the researcher meets a unique combination of mentioned factors and has to decide what numerical tools to use or modify to reach the goal. Therefore, the optimization always includes creativity and intuition. It is said that optimization belongs to both science and art.

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