优化理论

http://www.newsmth.net/bbsdoc.php?board=Optimization

代码实现

线性优化

The problem is usually expressed in matrix form, and then becomes:

     maximize     CT x
     subject to   A x <= B
                  x >= 0

 

NEOS
Some COIN-OR solvers can be accessed on-line through NEOS. You only need a description of the optimization problem you want to solve---all additional information required by the solver is determined automatically. The following COIN-OR solvers run on NEOS. (Click on the links below to get to the solver's webpage on NEOS.)

• BonMin, Basic Open-source Nonlinear Mixed INteger program solver on NEOS using AMPL input
• CLP COIN Linear Program Solver on NEOS using MPS input
• CBC Coin Branch and Cut Solver on NEOS
  • using MPS input
  • using AMPL input
• IPOPT Large-Scale Nonlinear Optimization Solver on NEOS using AMPL input

  lpsolver http://lpsolve.sourceforge.net/5.5/
二次型优化

书籍
Convex Optimization

Stephen Boyd
Department of Electrical Engineering
Stanford University

Lieven Vandenberghe
Electrical Engineering Department
University of California, Los Angeles

  JohnNash (A Beautitful Mind) 于  (Sat Jul  5 09:17:09 2008)  提到:

我来说几个比较经典的

Introduction to Linear Optimization by Dimitris Bertsimas

Nonlinear Programming by Dimitri P. Bertsekas

Convex Optimization by Stephen Boyd

Dynamic Programming and Optimal Control by Dimitri P. Bertsekas

Introduction to Algorithms by CLRS

Combinatorial Optimization: Algorithms and... by Christos H. Papadimitriou

Integer and Combinatorial Optimization by Laurence A. Wolsey and George L. Nemhauser 
        
Network Flows: Theory, Algorithms, and Applications by Ravindra K. Ahuja, Thomas L. Magnanti, and James B. Orlin

大家再列一下比较经典的尤其是stochastic optimization, robust optimization的书籍吧。:)



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   lyinsea (lyinsea) 于  (Sat Jul  5 09:48:26 2008)  提到:

Stochastic Programming:   Introduction to Stochastic Programming  Authors: John R. Birge, Francois Louveaux

Robust Optimization: 可以看 Lectures on Modern Convex Optimization by A. Ben-Tal, A. Nemirovski,   非 常棒的书，虽然不是专门讲robust optimization的，但是有涉及，很少有robust optimization的书吧   但是 Ben-Tal和Nemirovski算是robust optimization的先驱了


再推荐一本   Numerical Optimization     Author   Jorge Nocedal and Stephen Wright 我很喜欢的书   very easy reading

国内袁亚湘 孙文瑜写的  最优化理论与方法也很comprehensive  但是个人觉得写的数学味太浓烈了  不适合我等脑子不灵的人  但是不失为一本好书
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   DrumMania (羊城大少) 于  (Sat Jul  5 12:50:05 2008)  提到:

bertsekas有本parallel & distributed computing，是关于优化的，非常好
在他主页上就能下载

optimal control还有几本，bryson & ho, lee & markus, athans
算法:
  非约束优化 descent method, newton's method,
  等式约束优化 newton方法,
 不等式约束优化 内点法interior-point method, barrier method,