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Harvard Applied Math 205 is a graduate-level course on scientific computing and numerical methods. This video introduces Unit 4 ...

... go over assignments we can go over any problem you may have within this class the course text is nonlinear programming you ...

Harvard Applied Math 205 is a graduate-level course on scientific computing and numerical methods. Video 4.7 in this series ...

Review of Linear Algebra and Taylor series.

Review of linear algebra and calculus: norms, range space, null space, sequences, convergence of sequences.

Review of dynamic optimization: Maximum principle, dynamic programming and two-stage stochastic programming with recourse.

Augmented Lagrangian method and method of multipliers.

Maximum principle, necessary conditions for optimality for control problems with running cost.

Optimization of dynamic system using maximum principle based approach, necessary conditions for optimality of control actions.

Sequential Quadratic Programming.

Affine scaling method for linear programming Note: No audio after 33 mins.

Manifold suboptimization method and its relationship to simplex method for linear programming.

Gradient descent methods for computing optimal solutions.

Dynamic programming, value functions, linear-quadratic-regulator problem.

Lagrange multiplier method and sensitivity theorem, problems with inequality constraints.

Barrier method for linear programming and its connection to affine-scaling method for linear programming.

Duality Theory I Source: OCW MIT - Massachusetts Institute of Technology More information is available in the playlist details.

Banach contraction mapping theorem and its application to proving convergence of optimization algorithms.

Markov decision problems, memoryless and stationary policies, Bellman operator, value iteration algorithm.

Sequential quadratic programming.