37400 Postgraduate Optimisation8cp
There are course requisites for this subject. See access conditions.
Anti-requisite(s): 37343 Nonlinear Methods in Quantitative Management
This subject presents a range of concepts and techniques commonly used in solving nonlinear optimisation problems, arising in engineering, computer science, statistics, finance, and economics. Topics presented include Newton's and conjugate direction methods for unconstrained nonlinear programming as well as feasible direction methods, and penalty and barrier methods for constrained nonlinear programming. Another mathematical technique, widely used in practice from production planning and scheduling to personnel rostering and educational timetabling, is linear programming. The corresponding linear programming models often are solved using the interior point methods, which are based on nonlinear programming. The subject provides a brief introduction to the interior point methods.
The theoretical concepts covered are applied to solve real world problems in statistics, finance and economics.
Detailed subject description.