Description: Basics of numerical optimization: problem formulation, conditions of optimality, search direction and step length. Calculus-based techniques for univariate and multivariate optimization.

This is a preview. Log in through your library . Abstract In a previous work, Gregory and Wang gave efficient numerical methods to obtain global, pointwise, O(h2) a ...

Calculus to the level of ODEs, partial derivative and multiple integrals, some knowledge of PDEs helpful but not essential. Students should have a certain comfort level with dealing with advanced ...

This is a preview. Log in through your library . Abstract We apply conjugate duality to establish the existence of optimal portfolios in an assetallocation problem, with the goal of minimizing the ...