Numerical Optimisation and Large-Scale Systems (MA40050) Spring Term 2019

This is the website for the course MA40050: Numerical Optimisation and Large-Scale Systems.Prerequisites for the course are Analysis and Algebra as well as standard courses on Numerical Analysis. It is very helpful to know some Numerical Linear Algebra.

## Timetable (NOTE THERE IS A CHANGE TO ORIGINAL TIMETABLE)

- Lectures: Wednesday 10:15 in 3W 4.7 and Thursday 11:15 in 8W 2.5
- Problem Classes: Thursday 12:15 (in 8W 2.28 on 28th February; 8W 2.6 on 7th/14th/21st March; no problem class on 28th March; in 8W2.5 on 4th/11th/18th April)
- Consultation hours: Thursday 2:15-5:15 (You don't need to use those but this means I am generally in my office during that time)
- CANCELLED (will only be used if needed): Problem Classes: Friday 17.15 in CB 5.1

## Some helpful links

- Unit decription for MA40050 (from catalogue)
- MATLAB Primer (A MATLAB manual)
- Mathworks pages a very useful source for any Matlab issues

## Some Literature (all available in the library)

- G. H. Golub, C. F. Van Loan:
*Matrix Computations*(3rd ed.) Johns Hopkins University Press Baltimore, MD, USA, 1996. - C. Ortner:
*Continuous Optimization*Lecture Notes, 2009 (available here). - J. Nocedal, S.J. Wright:
*Numerical Optimization*(2nd ed.) Springer, 2006. - J.E. Dennis, R.B. Schnabel:
*Numerical Methods for Unconstrained Optimization and Nonlinear Equations*Prentice-Hall, 1983. - N.I.M. Gould, S. Leyffer:
*An introduction to algorithms for nonlinear optimization*in Frontiers in Numerical Analysis (J.F. Blowey, A.W. Craig, T. Shardlow, Eds.), Springer, 2003 (available here).

## Lecture notes

- Lecture Notes (these are updated as the course progresses)

## Handouts and slides

- Info Sheet
- Introduction
- Linear Algebra Primer
- Linear Algebra Primer with proofs
- (Sketch of) Proofs for Exercises
- Convergence of Steepest Descent vs Newton

The lecture notes for the course on Numerical Linear Algebra are still online here. That course is not a prerequisite for this course but you may find reading through the intro chapter useful. Linear Algebra and Analysis from years 1 and 2 should be sufficient for this unit.

## Matlab codes

- Codes for Problem Sheet 2: psheet2.zip
- Codes for Problem Sheet 3: psheet3.zip
- Codes for Problem Sheet 4: psheet4.zip
- Codes for Problem Sheet 5: psheet2-5.zip
- Codes for Problem Sheet 6: psheet6.zip

## Problem Sheets

If you would like individual feedback on your solutions to the problem sheets, please hand them in during the lecture on Wednesday (or in the p/hole on level 1 by Wednesday 12:15pm at the latest) for the problem class on Thursday.

- Problem Sheet 1 Solutions to Problem Sheet 1
- Problem Sheet 2 Solutions to Problem Sheet 2
- Problem Sheet 3 Solutions to Problem Sheet 3
- Problem Sheet 4 Solutions to Problem Sheet 4
- Problem Sheet 5 Solutions to Problem Sheet 5
- Problem Sheet 6 Solutions to Problem Sheet 6

## Assignment

I plan to set the assignment on 20th March with a hand in date of 16th April.

## Exam

#### The exam takes place in Summer 2019.

If you have any queries, please come and see me either after the lecture or in my office (4W 5.11) or send me an email.