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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 ...

Review of Linear Algebra and Taylor series.

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 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.

A tutorial on how to perform a non-linear curve fitting of data-points to any arbitrary function with multiple fitting parameters.

Augmented Lagrangian method and method of multipliers.

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

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

Necessary and sufficient conditions for optimality in constrained optimization, Projection theorem.

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

Gradient descent methods for computing optimal solutions.

Gradient projection method, scaled gradient projection method.

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

Sequential Quadratic Programming.

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

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

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

Sensitivity Theorem, Optimization problems with inequality constraints.