Numerical Optimization

Prof. Dr. Moritz Diehl -

The course’s aim is to give an introduction into numerical methods for the solution of optimization problems in science and engineering. It is intended for students from two faculties, mathematics and physics on the one hand, and engineering and computer science on the other hand. This semester, Numerical Optimization is offered as an semi-online course. The focus is on continuous nonlinear optimization in finite dimensions, covering both convex and nonconvex problems.

Organization of the course

The course is organized as flipped classroom. We provide recordings of the lecture and will meet once a week to discuss the course contents. This course has 6 ECTS credits. It is possible to do a project to get an additional 3 ECTS, i.e., a total of 9 ECTS for course+project. For more information please contact Florian Messerer.

Virtual meetings: We will meet every Friday, 2pm to 4pm, in a virtual lecture room. These meetings are alternatingly dedicated to either Q&A sessions with Prof. Diehl or exercise sessions with the teaching assistant (see below). We will use Zoom for the meetings. Please note that you can join the meeting via your browser and do not need to install to the Zoom client. Meeting ID and password will be added here. Except for the kick-off session, none of the meetings will be recorded. For more information on how the university uses Zoom, a guide for students, and a note on data protection please see here.

Lecture recordings: The lecture recordings were already created in a past semester. There are 24 lectures of approximately 90 minutes each. We will provide a recommended schedule for watching them. (You can already have a look at them here.)

Course manuscript: The lectures are accompanied by a detailed course manuscript, which you may find in the materials section below.

Exercises: The exercises are mainly computer based. Computers with MATLAB and CasADi installed are required to solve them (see below for details).

Q&A sessions: Every second week there will be a virtual Q&A session with Prof. Diehl, where you can ask any questions about the course content. The format is meant to be highly interactive and depends strongly on your participation. We would recommend that while watching the video lectures or reading the course script, you write down any questions that come to your mind, such that you have them readily available for the Q&A sessions.

Exercise sessions: Every other week we will meet for the exercise sessions. They will not be used to show the solutions, but to discuss any questions related to the exercises. These can either be questions about the current exercise sheet or questions about the solution to the last sheet. As the Q&A sessions, this format depends heavily on your participance.

Final evaluation: The final exam is a written exam. For students from the faculty of engineering and the B.Sc. Math, this exam is graded. Students from the M.Sc. Math need to pass the written exam in order to take the graded 11ECTS oral exam.

Projects: The optional project (3 ECTS) consists in the formulation and implementation of a self-chosen optimization problem or numerical solution method, resulting in documented computer code, a project report, and a public presentation. Project work starts in the last third of the semester. For students from the faculty of engineering the project is graded independently from the 6ECTS lecture. For students from the B.Sc. Math, the grade for the lecture&project 9ECTS module is solely determined by the written exam. For students from the M.Sc. Math the project is again a prerequisite to the graded 11ECTS oral exam.