ISE 599: Robust Optimization

Lecture: Monday 2:00 - 4:50, location KAP-147
Instructor: Fernando Ordóñez  fordon "at" usc "dt" edu Office hours: Wednesdays 3:00-5:00 in GER-247

Course Description

This course covers modern convex optimization models and algorithms by focusing on conic optimization problems. Conic optimization consitutes an important area of modern non-linear optimization thanks to two key advancements: (1) Interior point methods allow the efficient computation of conic programs, and (2) a broad class of problems can be cast in conic form, in particular the problem of finding a robust solution for an optimization problem under uncertainty.

The course consists of two parts: first a review of theory and algorithms that pertain to robust optimization, and secondly a study of recent publications in the methods and applications of robust optimization. Topics include conic programming, interior point methods, the formulation of the robust optimization problem, and applications of robust optimization to structural design, integer programming, finance, supply chain management, etc.

Handouts

  1. Course syllabus. Postscript, PDF, LaTeX, DVI
  2. Reading List
  3. Lecture 1: Introduction to Robust Optimization Postscript, PDF, LaTeX, DVI
    Solution Homework #1 Postscript, PDF, LaTeX, DVI
  4. Lecture 2: Non-linear and Conic Programming Postscript, PDF, LaTeX, DVI
  5. Handout on Course Projects and updated assignment schedule Postscript, PDF, LaTeX, DVI
  6. Lecture 3: Complexity and Conic Programming Postscript, PDF, LaTeX, DVI
    Solution Homework #2 Postscript, PDF, LaTeX, DVI
  7. Lecture 4: Examples of Conic Programming: LP, SOCP, and SDP Postscript, PDF, LaTeX, DVI
    Solution Homework #3 Postscript, PDF, LaTeX, DVI
  8. Lecture 5: SDP, Interior Point Methods --Basics Postscript, PDF, LaTeX, DVI
    Solution Homework #4 Postscript, PDF, LaTeX, DVI
  9. Presentation Schedule
  10. Lecture 6: Primal Interior Point Methods Postscript, PDF, LaTeX, DVI
    Solution Homework #5 Postscript, PDF, LaTeX, DVI
  11. Lecture 7: SOCP for Robust Problems Postscript, PDF, LaTeX, DVI
    Solution Homework #6 Postscript, PDF, LaTeX, DVI
  12. Lecture 8: SDP for Robust Problems Postscript, PDF, LaTeX, DVI
  13. Takehome Midterm Exam PDF
    Solution Midterm Postscript, PDF, LaTeX, DVI
    models used in the midterm solution: work files
  14. Final Projects

Last update: Wed Dec 1 01:03:55 PST 2004