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course-overview
course-overview
course-overview
Course overview
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Outline
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What is the goal of optimization?
real-world problem
formulation
optimization problem
solution
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Why study optimization?
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An optimization problem is a mathematical object of the following form:
minimize f (x)
x
subject to h1 (x) =0
..
.
hp (x) =0
g1 (x) ≤0
..
.
gm (x) ≤ 0
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Solving an optimization problem means finding a global minimizer
cost function f
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A constrained optimization problem:
cost function f
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What is the most important fact about optimization?
1
100
0.8
0.6 80
0.4
60
0.2
0 40
−0.2
20
−0.4
−0.6
0
−0.8
−1 4 4
−20
3 2 3 2
2 2
1 0 1 0
0 0
−1 −2 −1 −2
−2 −2
−3 −4 −3 −4
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Your first optimization problem: where to place a fire
station?
• A fire station is going to serve K villages
• The K villages are located at given positions p1 , p2 , . . . , pK ∈ R2
• Where should you place the fire station?
p1
x =? pK
fire station
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• A possible problem formulation is as follows:
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1 % firestation.m; uses package CVX from http://cvxr.com/cvx
2 KK = 20; % choose K = number of villages
3 p1 = 0.5*randn(2,KK); % generate random positions
4 p2 = p1+[5 ; 0]*ones(1,KK);
5 p = [ p1 , p2 , [ 5 ; 5 ] ]; K = size(p,2);
6
7 % plot the villages
8 figure(1); clf;
9 plot(p(1,:),p(2,:),'ˆ','MarkerSize',8,'MarkerFaceColor','b');
10 grid on;
11
12 % solve the optimization problem
13 cvx begin quiet
14 variable x(2,1);
15
16 % build cost function
17 f = norm(x − p(:,1));
18 for i = 2:K
19 f = max(f,norm(x−p(:,i)));
20 end;
21
22 minimize(f);
23 cvx end;
24
25 %plot solution
26 hold on; plot(x(1),x(2),'rx','MarkerSize',15,'LineWidth',2);
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• Here is a typical output:
−1
−2
−2 −1 0 1 2 3 4 5 6
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The course consists of three parts:
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Grading
• The minimum grade for either the project or the exam is 10 points
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Timeline for the project
• Sep. 25: We post the link for you to register your group
• Sep. 29: We remove the link for you to register your group
• Dec. 10–Dec. 18: You present orally your project (20 min)
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