Numerical optimization: theoretical and practical aspects

J. Frédéric Bonnans, Jean Charles Gilbert, Claude Lemaréchal, Claudia A. Sagastizábal9783540001911, 3-540-00191-3

Numerical Optimization has numerous applications in engineering sciences, operations research, economics, finance, etc. Starting with illustrations of this ubiquitous character, this book is essentially devoted to numerical algorithms for optimization, which are exposed in a tutorial way. It covers fundamental algorithms as well as more specialized and advanced topics for unconstrained and constrained problems. The theoretical bases of the subject, such as optimality conditions, Lagrange multipliers or duality, although recalled, are assumed known. Most of the algorithms described in the book are explained in a detailed manner, allowing straightforward implementation. This level of detail is intended to familiarize the reader with some of the crucial questions of numerical optimization: how algorithms operate, why they converge, difficulties that may be encountered and their possible remedies. Theoretical aspects of the approaches chosen are also addressed with care, often using minimal assumptions.