Advanced Mathematical Optimization

(INF580 -- Optimisation Mathématique Avancée)

DIX (LIX), École Polytechnique

2nd trimester 2018/2019 (jan-mar)

News

The course starts on Friday 11 jan 2018 in PC66: 1400-1600 lecture, and 1615-1815 TD.
Find the slides and code for TD1 here.
Find the slides and code for TD2 here.
Slides for TD3 and some code.
Slides for TD4 and some code.
Slides for TD5 and some code. Find dgp_sdp.py here
Slides for TD6 and some code.
Slides for TD7 and some code.

Teaching Material

The slides. They will evolve during the course.
A new set of lecture notes I am preparing. Work in progress.
The lecture notes I used until until 2017
Downloadable chapters from the AMPL book
Downloadable AMPL packages (Linux/MacOSX/Windows with a 4-month temporary license)

Teacher

Leo Liberti (Office 2015, LIX @ Turing Building)

Timetable

  14-16: lecture and 1615-1815 TD, in PC66
  January: friday afternoons (11, 18, 25)
  February: friday afternoons (1, 8, 15, 22)
  March: friday and thursday afternoon (8, 14)

Every "teaching slot" will be composed by 2h lectures (fri 14-16) in and 2h of computer practice (fri 1615-1815) in PC66: bring your laptops!

Exam: I don't know yet.

Software

AMPL is A Mathematical Programming Language. Optimization problems coded in AMPL look very close to their corresponding mathematical formulation.
Each problem instance is coded in AMPL using three files: a model file (extension .mod), a data file (extension .dat) and a run file (extension .run).
The model file contains the mathematical formulation of the problem.
The data file contains the numerical values of the problem parameters. Different data files for the same model file correspond to different instances of the same optimization problem.
The run file specifies the solution algorithm. This may be implemented in an external numerical solver, such as CPLEX, or coded by the user in the AMPL language itself. We will often use a combination of the two.
The student edition of AMPL can be downloaded here for either UNIX or Windows platforms. Download and install, from the same webpage, the solvers CPLEX , MINOS, and SNOPT, too.
I obtained some temporarily licensed AMPL packages for Linux32, Linux64, MacOsX64, MSWin32, MSWin64 OSes.

More resources about mathematical programming and OR

The slides from an old course I gave at X until 2010 (INF572)

The exercise book from INF572