Large-scale Mathematical Optimization

DIX (LIX), École Polytechnique

2nd trimester 2019/2020 (jan-mar)

News

• The course starts on Friday 10 jan 2020 in PC20: 1400-1600 lecture, and 1615-1815 TD.
• TD1: slides, code for the structured LP example, all the code for TD1
• TD2: the easy version and the hard version
• (the explanatory slides are in the .zip files). You can also see the solution of the Line Monitor formulation.
• TD3: slides.
• TD4: slides and code to be completed.
• TD5: slides and code to start you off with.
• Examples of projects.
• See the current exam calendar here. If you're not on it, please write me an email.
• TD6: slides and slides, some help for the codei, and solutions

Teaching Material

• Lecture 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

Timetable

```  14-16: lecture and 1615-1815 TD, in PC20
January: fridays (10, 17, 24, 31)
February: fridays (7, 14) and thursday 27
March: friday 6 and thursday 12
```

Every "teaching slot" will be composed by 2h lectures (fri 14-16) in and 2h of computer practice (fri 1615-1815) in PC20: bring your laptops!

Exam: Project defense or oral exam on some course topics.

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.

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