| Crédit : 6 ECTS |
| Langue du cours : anglais
|
|
|
|
Volume horaire
- CM :
58.5 h
- Volume horaire global (hors stage) :
58.5 h
Compétences à acquérir
Finite-dimensional optimization problems and their numerical resolution.
Description du contenu de l'enseignement
The course focuses on finite-dimensional optimization problems and their numerical resolution.
- Basic concepts: existence of optimisers; optimality conditions; convexity and strict convexity.
- Unconstrained optimisation: gradient descent (principles, convex case, extensions); Newton’s method; numerical implementations.
- Constrained optimisation: Lagrange multipliers for equality and inequality constraints; KKT conditions; numerical methods; duality.
- Introduction to optimal control: discrete-time problems, dynamic programming principle and Bellman equations. Possible brief outlook toward calculus of variations and continuous-time optimal control.
Mode de contrôle des connaissances
Examen sur table (mi-semestre et fin de semestre).
Pré-requis recommandés
Optimisation dans R^n sans contraintes.
Enseignant responsable
IDRISS MAZARI-FOUQUER