Lectures Based on
Linear Programming: Foundations and Extensions
Graduate Level
Fall 2012
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 |
Convex Optimization, Nonconvex Optimization |
11 | Integer Programming | Other Applications |
12 | Pricing American Options---The Problem | Pricing American Options---The Duality-Based Solution |
Slides from previous years: