ENCE 724 / BMGT 832 Nonlinear Programming
Downloads & Links
References
Optimization and Equilibrium Problems
Downloads
| Weeks | Topic (also see PowerPoint files for individual lectures for LINDO code or other relevant examples) |
1&2 |
Problem classification, examples • "An Analytic Derivation of the Efficient Portfolio Frontier," R.C. Merton, The Journal of Financial and Quantitative Analysis, 7 (4), Sept. 1972, 1851-1872. • Min Cost Flow LP version 1 (min_cost_flow_v1.txt, min_cost_flow_v1.xls) • Min Cost Flow LP version 2 (min_cost_flow_v2.txt, min_cost_flow_v2.xls) • Portfolio optimization QP (portfolio_optimization.xls) • Haverly pooling problem (1978 and 1979 references -- see Blackboard site: https://bb.eng.umd.edu) |
2 |
Some MATLAB basic commands • matlab_basics.m |
3,4,5,6 |
|
7, 8, 9, 10 |
|
11-14 |
Algorithms for constrained and unconstrained problems • steepest descent example (steepest_descent.xls) • Newton's method example (newton.xls) |
15 |
Sample Optimization Code:
| Problem #1 (LP) | Problem #2 (NLP) | Problem #3 (QP) |
| MATLAB (fmincon) MPL XPRESS-MP/MOSEL Excel (solver add-in) LINDO |
MATLAB (fmincon) MPL XPRESS-MP/MOSEL Excel (solver add-in) |
MATLAB (fmincon) MPL XPRESS-MP/MOSEL Excel (solver add-in) |
Optimization Software
(key:LP=linear programming, IP=integer programming,NLP=nonlinear
programming, NCP/VI = nonlinear complementarity problem/variational inequality)
- MATLAB,
MATLAB Student Version (LP, NLP, + many other functions) - MPL (Modeling language) (LP,IP,NLP)
- Dash Optimization (LP,IP, NLP solver is Xpress-MP, MOSEL is the modeling language),
Student Version of XPRESS-MP - LINDO (LP,IP,NLP),
LINDO/LINGO Student Version - GAMS (LP, IP, NLP, NCP/VI)
Links
Professional Societies
- Institute for Operations Research and the Management Sciences (INFORMS)
- Society for Industrial and Applied Mathematics (SIAM)
- Mathematical Programming Society (MPS)
Journals
- SIAM Journal on Optimization
- SIAM Journal on Control and Optimization
- INFORMS Journal on Computing
- Mathematical Programming
- Management Science
- Operations Research
- Transportation Science
- Mathematics of Operations Research
- Marketing Science
- Annals of Operations Research
- Computational & Mathematical Organization Theory
- Computational Optimization and Applications
- Journal of Combinatorial Optimization
- Journal of Global Optimization
- European Journal of Operational Research
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