ISYE 6669: Deterministic Optimization

Overview

The course will teach basic concepts, models, and algorithms in linear optimization, integer optimization, and convex optimization. The first module of the course is a general overview of key concepts in optimization and associated mathematical background. The second module of the course is on linear optimization, covering modeling techniques, basic polyhedral theory, simplex method, and duality theory. The third module is on nonlinear optimization and convex conic optimization, which is a significant generalization of linear optimization. The fourth and final module is on integer optimization, which augments the previously covered optimization models with the flexibility of integer decision variables. The course blends optimization theory and computation with various applications to modern data analytics.

This course is not foundational and does not count toward any specializations at present, but it can be counted as a free elective.

Course Goals

• Learn modeling skills for formulating various analytics problems as linear, convex nonlinear, and integer optimization problems.
• Learn basic optimization theory including duality theory and convexity theory, which will give the students a deeper understanding of not only how to formulate an optimization model, but also why.
• Learn fundamental algorithmic schemes for solving linear, nonlinear, and integer optimization problems.
• Learn computational skills for implementing and solving an optimization problem using modern optimization modeling language and solvers.

Sample Syllabus

Fall 2022 syllabus and schedule (PDF)

Note: Sample syllabi are provided for informational purposes only. For the most up-to-date information, consult the official course documentation.

Before Taking This Class...

Suggested Background Knowledge

• Linear Algebra
• Multivariate Calculus
• Basic Probability
• Familiarity with programming in Python

Technical Requirements and Software

• Internet connection (DSL, LAN, or cable connection desirable)
• PuLP optimization software (free download; see http://www.coin-or.org/PuLP/ -- Windows version and (for Mac users) a Linux version)
• CVX in Python: CVXOPT, CVXPY software (available at http://cvxopt.org and https://www.cvxpy.org)
• CVX in MATLAB: CVX software (available at http://cvxr.com/cvx/)
• Python programming language (free download; see http://www.python.org). Preferably use the Anaconda distribution (http://www.anaconda.com)
• Adobe Acrobat PDF reader (free download; see https://get.adobe.com/reader/)

Academic Integrity

All Georgia Tech students are expected to uphold the Georgia Tech Academic Honor Code. This course may impose additional academic integrity stipulations; consult the official course documentation for more information.