Tony Shardlow

School of Mathematics

MSc in Applied Mathematics

Teaching

Research


MATH46132/66132: Numerical Optimisation

The lecturer is Tony Shardlow. My contact details are here.

The course

Module description is here and the first handout is here.

The exams

Midsemester coursework is worth 25% and will involve MATLAB programming.

Handouts

  1. First handout
  2. Problem with steepest descent
  3. Notes on conjugate gradient
  4. Pros and cons
  5. Coursework 1: worth 20%: due Friday 30th March
  6. Coursework 2: worth 5%: due Friday 4th May

Problem Sheets

Problems 1 Solutions 1
Problems 2 Solutions 2
Problems 3 Solutions 3
Problems 4 Solutions 4
Problems 5 Solutions 5

MATLAB code

Code for steepest descent/backtracking linesearch algorithm: it runs with the command inexact_sd([1.2,1.2],1e-6,1,0.001,0.8,0.9)

  1. bls.m Backtracking linsearches
  2. f_eval.m and g_eval.m evaluates object fn and gradient. Note that this is not the f given on the example sheet, because the one on the example sheet is "too hard" for steepest descent.
  3. inexact_sd.m
  4. cg.m conjugate gradient for sheet 2.
  5. zoom.m and linesearch2.m for solving a lineasearch method subject to the strong Wolfe conditions. Both codes are required and you use linesearch2.m (zoom.m is only a subfunction).
  6. GN_eg_data.m for example data.