Lectures Based on

Linear Programming: Foundations and Extensions

Graduate Level

Fall 2010

Week Tuesday Thursday
0 Examples and Definitions
1 The Simplex Method Degeneracy
2 Efficiency Duality
3 Matrix Notation Sensitivity and Parametric Analysis
4 Game Theory Regression
5 Network Flows --Theory Network Flows--Algorithms
6 Network Flows--Applications Midterm
Fall Break
7 Structural Optimization Interior-Point Methods, Path-Following
8 Review of Midterm Homogeneous Self-Dual Method
9 Review of Currency Exchange Exercise and Intro to AMPL Thanksgiving
10 Applications in Astronomy Other Applications
11 Convex Optimization,
Nonconvex Optimization
Pricing American Options---The Problem
12 Pricing American Options---The Duality-Based Solution Integer Programming

Slides from previous years: