Edwin K.P. Chong and Stanislaw H. Żak
Contents
- Preface
Part I. Mathematical Review
- 1 Methods of Proof and Some Notation
- 1.1 Methods of Proof
- 1.2 Notation
- 2 Vector Spaces and Matrices
- 2.1 Vector and Matrix
- 2.2 Rank of a Matrix
- 2.3 Linear Equations
- 2.4 Inner Products and Norms
- 3 Transformations
- 3.1 Linear Transformations
- 3.2 Eigenvalues and Eigenvectors
- 3.3 Orthogonal Projections
- 3.4 Quadratic Forms
- 3.5 Matrix Norms
- 4 Concepts from Geometry
- 4.1 Line Segments
- 4.2 Hyperplanes and Linear Varieties
- 4.3 Convex Sets
- 4.4 Neighborhoods
- 4.5 Polytopes and Polyhedra
- 5 Elements of Calculus
- 5.1 Sequences and Limits
- 5.2 Differentiability
- 5.3 The Derivative Matrix
- 5.4 Differentiation Rules
- 5.5 Level Sets and Gradients
- 5.6 Taylor Series
Part II. Unconstrained Optimization
- 6 Basics of Set-Constrained and Unconstrained Optimization
- 6.1 Introduction
- 6.2 Conditions for Local Minimizers
- 7 One-Dimensional Search Methods
- 7.1 Golden Section Search
- 7.2 Fibonacci Search
- 7.3 Newton's Method
- 7.4 Secant Method
- 7.5 Remarks on Line Search Methods
- 8 Gradient Methods
- 8.1 Introduction
- 8.2 The Method of Steepest Descent
- 8.3 Analysis of Gradient Methods
- 9 Newton's Method
- 9.1 Introduction
- 9.2 Analysis of Newton's Method
- 9.3 Levenberg-Marquardt Modification
- 9.4 Newton's Method for Nonlinear Least-Squares
- 10 Conjugate Direction Methods
- 10.1 Introduction
- 10.2 The Conjugate Direction Algorithm
- 10.3 The Conjugate Gradient Algorithm
- 10.4 The Conjugate Gradient Algorithm for Non-Quadratic Problems
- 11 Quasi-Newton Methods
- 11.1 Introduction
- 11.2 Approximating the Inverse Hessian
- 11.3 The Rank One Correction Formula
- 11.4 The DFP Algorithm
- 11.5 The BFGS Algorithm
- 12 Solving Linear Equations
- 12.1 Least-Squares Analysis
- 12.2 The Recursive Least-Squares Algorithm
- 12.3 Solution to Linear Equation with Minimum Norm
- 12.4 Kaczmarz's Algorithm
- 12.5 Solving Linear Equations in General
- 13 Unconstrained Optimization and Neural Networks
- 13.1 Introduction
- 13.2 Single-Neuron Training
- 13.3 The Backpropagation Algorithm
- 14 Global Search Algorithms
- 14.1 Introduction
- 14.2 The Nelder-Mead Simplex Algorithm
- 14.3 Simulated Annealing
- 14.4 Particle Swarm Optimization
- 14.5 Genetic Algorithms
Part III. Linear Programming
- 15 Introduction to Linear Programming
- 15.1 Brief History of Linear Programming
- 15.2 Simple Examples of Linear Programs
- 15.3 Two-Dimensional Linear Programs
- 15.4 Convex Polyhedra and Linear Programming
- 15.5 Standard Form Linear Programs
- 15.6 Basic Solutions
- 15.7 Properties of Basic Solutions
- 15.8 Geometric View of Linear Programs
- 16 Simplex Method
- 16.1 Solving Linear Equations Using Row Operations
- 16.2 The Canonical Augmented Matrix
- 16.3 Updating the Augmented Matrix
- 16.4 The Simplex Algorithm
- 16.5 Matrix Form of the Simplex Method
- 16.6 Two-Phase Simplex Method
- 16.7 Revised Simplex Method
- 17 Duality
- 17.1 Dual Linear Programs
- 17.2 Properties of Dual Problems
- 18 Nonsimplex Methods
- 18.1 Introduction
- 18.2 Khachiyan's Method
- 18.3 Affine Scaling Method
- 18.4 Karmarkar's Method
Part IV. Nonlinear Constrained Optimization
- 19 Problems with Equality Constraints
- 19.1 Introduction
- 19.2 Problem Formulation
- 19.3 Tangent and Normal Spaces
- 19.4 Lagrange Condition
- 19.5 Second-Order Conditions
- 19.6 Minimizing Quadratics Subject to Linear Constraints
- 20 Problems With Inequality Constraints
- 20.1 Karush-Kuhn-Tucker Conditions
- 20.2 Second-Order Conditions
- 21 Convex Optimization Problems
- 21.1 Introduction
- 21.2 Convex Functions
- 21.3 Convex Optimization Problems
- 21.4 }Semidefinite Programming
- 22 Algorithms for Constrained Optimization
- 22.1 Introduction
- 22.2 Projections
- 22.3 Projected Gradient Methods with Linear Constraints
- 22.4 Lagrangian Algorithms
- 22.5 Penalty Methods
- 23 Multiobjective Optimization
- 23.1 Introduction
- 23.2 Pareto Solutions
- 23.3 Computing the Pareto Front
- 23.4 From Multiobjective to Single-Objective Optimization
- 23.5 Uncertain Linear Programming Problems
- References
- Index
Professor Edwin K. P. Chong,