Fundamentals of Optimization

Optimization is important to many applications in business, be that finance, operations, marketing or others. This course aims to provide a broad overview of the concepts that underpin optimization to help students to gain an understanding of what type of optimization problem they may be dealing with in their studies, and how this could be tackled.

Coverage includes:

• Structure of an optimization problem
• Deterministic versus stochastic optimization
• Continuous versus discrete optimization
• Constrained versus unconstrained optimization
• Fundamentally important concepts like convexity, duality, complexity, total unimodularity, ...
• Introduction to various techniques including linear and non-linear mathematical programming, (approximate) dynamic programming for control problems, optimal learning

We will not go overly deep into the topics due to time constraints; instead, the focus is on imparting an intuitive understanding of optimization techniques and of structures that can be exploited. The intention is to make this course useful and relevant to any students who face some form of optimization problem and who do not yet have received formal training in optimization.

Ability to explain in high-level terms how different optimization approaches work

Ability to discuss advantages and disadvantages of different optimization approaches

20%: participation in class