Lectures Based on

Linear Programming: Foundations and Extensions

Graduate Level

Fall 2010

Week | Tuesday | Thursday |
---|---|---|

0 | Examples and Definitions | |

1 | The Simplex Method | Degeneracy |

2 | Efficiency | Duality |

3 | Matrix Notation | Sensitivity and Parametric Analysis |

4 | Game Theory | Regression |

5 | Network Flows --Theory | Network Flows--Algorithms |

6 | Network Flows--Applications | Midterm |

Fall Break | ||

7 | Structural Optimization | Interior-Point Methods, Path-Following |

8 | Review of Midterm | Homogeneous Self-Dual Method |

9 | Review of Currency Exchange Exercise and Intro to AMPL | Thanksgiving |

10 | Applications in Astronomy | Other Applications |

11 |
Convex Optimization, Nonconvex Optimization |
Pricing American Options---The Problem |

12 | Pricing American Options---The Duality-Based Solution | Integer Programming |

Slides from previous years: