EL-GY 6233 System Optimization Methods, Fall 2015


Course Objective:

This course is appropriate for both upper-level undergraduates and graduate students with basic knowledge in matrix theory (linear algebra) and calculus. Optimization is a very important subject which finds applications in many branches of science and engineering, to name a few, economics, computer science, financial engineering, systems engineering, electrical and computer engineering, mechanical engineering. The course aims to equip students with practical optimization methods for solving real-world applications and prepare them for a career in academia and industry. Topics to be covered include linear programming, nonlinear programming, calculus of variations and dynamic programming.


The course is offered as a first-year graduate level course. Basic knowledge of linear algebra, calculus and differential equations and scientific computing is assumed.


  • Homework: 15%
  • Midterm Exam: 25%
  • Final Exam: 40%
  • Project: 20%


[BV] S. Boyd and L. Vandenberghe, Convex Optimization, Cambridge University Press, 2004.

Available online at http://www.stanford.edu/~boyd/cvxbook/

[DL] D. Liberzon, Calculus of Variations and Optimal Control Theory: A Concise Introduction, Princeton University Press, 2012

Available online at http://liberzon.csl.illinois.edu/teaching/cvoc/cvoc.html

Supplementary Textbooks:

[MI] M. D. Intriligator, Mathematical Optimization and Economic Theory, SIAM Classics in Applied Mathematics, 2002.

[LY] D. Luenberger and Y. Ye, Linear and Nonlinear Programming, Springer, 2008.

[CZ] E. K. P. Chong and S. H. Zak, An Introduction to Optimization, John Wiley & Sons Inc., 4th edition, 2013.

Additional References:

[AF] M. Athans and P. L. Falb, Optimal Control: An Introduction to the Theory and Its Applications, Dover Publications Inc., 2007

[DL] D. Luenberger, Optimization by Vector Space Methods, Wiley, 1997.

[DBa] D. Bertsekas, Nonlinear Programming, Athena Scientific, Second Edition, 1999.

[DBb] D. Bertsekas, Dynamic Programming and Optimal Control. Vol. 1 and 2. Nashua, NH: Athena Scientific, 2007.

[AM] B. Anderson and J. B. Moore, Optimal Control: Linear Quadratic Methods, Dover, 1990.

[PV] P. Varaiya, Lecture Notes on Optimization, Available online.

Course Schedule:

Lecture 1            Introduction and Basic Concepts

Lecture 2            Unconstrained Optimization

Lecture 3            Convexity and Convex Optimization

Lecture 4            Convex Optimization

Lecture 5            Duality and Linear Programming

Lecture 6            KKT Conditions

Lecture 7            Constrained Nonlinear Optimization

Lecture 8            Numerical Methods and Applications

Lecture 9            Optimal Control and Calculus of Variations

Lecture 10            Calculus of Variations

Lecture 11         Introduction to Dynamic Programming

Lecture 12          Dynamic Programming and Applications

Lecture 13          Maximum Principle