Lectures Based on

Linear Programming: Foundations and Extensions

Graduate Level

Fall 2012

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 Convex Optimization,
Nonconvex Optimization
11 Integer Programming Other Applications
12 Pricing American Options---The Problem Pricing American Options---The Duality-Based Solution

Slides from previous years: