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ELEC70066 Advanced Optimisation

Lecturer(s): Dr Giordano Scarciotti

Aims

The aim of this module is to equip you with the tools to formulate and solve applied optimisation problems. The module covers several topics in optimisation such as convex optimisation, multi-objective optimisation, and formulation and solution of applied optimisation problems. Each theoretical topic is covered with an application-driven mindset. During the regular classes you will apply the theory on problems arising in a variety of practical domains such as fitting, finance, classification, biology, and advertising. The module assumes prior basic optimisation knowledge such as descent methods and constrained optimisation. This prior knowledge may be acquired in the Autumn module ""Optimisation"" although that module is not a prerequisite. Basic knowledge of Python is assumed (equivalent to any 4/5-hour long tutorial course available online for free).

Learning Outcomes

Upon successful completion of this module, you will be able to: 1 - Classify different families of optimisation problems 2 - Formulate an engineering/scientific/economic problem as an optimisation problem of a known class 3 - Apply the correct methods of optimisation to solve the problem 4 - Assess the approximation and computational cost of an optimisation algorithm 5 - Employ advanced optimisation techniques and analyse their limitations 6 - Write computer programmes to formulate and solve optimisation problems 7 - Compare the introduced ideas and tools with the more general theory of optimisation. 8 - Devise a toolbox of optimisation algorithms to solve various classes of problems.

Syllabus

Convex sets; Convex functions; Convex optimization problems; Approximation and estimation problems; Statistical applications; Geometric applications; Interior point methods; Integer programming; Methods for solving integer programmes; Multi-objective programming; Pareto optimality; Complexity analysis; Applied optimisation: classes will focus on problems from different areas of engineering, science and finance.
Assessment
Exam Duration: N/A
Coursework contribution: 40%

Term: Spring

Closed or Open Book (end of year exam): N/A

Coursework Requirement:
N/A

Oral Exam Required (as final assessment): N/A

Prerequisite module(s): None required

Course Homepage: unavailable

Book List: