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: