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Lectures Year : 2019

Selected Topics on Continuous Optimization and Nonsmooth Systems

Morceaux Choisis en Optimisation Continue et sur les Systèmes non Lisses

Jean Charles Gilbert


This course starts with the presentation of the optimality conditions of an optimization problem described in a rather abstract manner, so that these can be useful for dealing with a large variety of problems. Next, the course describes and analyzes various advanced algorithms to solve optimization problems (nonsmooth methods, linearization methods, proximal and augmented Lagrangian methods, interior point methods) and shows how they can be used to solve a few classical optimization problems (linear optimization, convex quadratic optimization, semidefinite optimization (SDO), nonlinear optimization). Along the way, various tools from convex and nonsmooth analysis will be presented. Everything is conceptualized in finite dimension. The goal of the lectures is therefore to consolidate basic knowledge in optimization, on both theoretical and algorithmic aspects.
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Dates and versions

cel-01249369 , version 1 (04-01-2016)
cel-01249369 , version 2 (08-11-2019)
cel-01249369 , version 3 (21-03-2021)


  • HAL Id : cel-01249369 , version 3


Jean Charles Gilbert. Selected Topics on Continuous Optimization and Nonsmooth Systems. Master. Palaiseau, France. 2019, pp.184. ⟨cel-01249369v3⟩
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