Top products from r/optimization

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u/kafkaesque_garuda · 1 pointr/optimization

Hi OP,

I found myself in a similar situation to you. To add a bit of context, I wanted to learn optimization for the sake of application to DSP/machine learning and related domains in ECE. However, I also wanted sufficient intuition and awareness to understand and appreciate optimization it for it's own sake. Further, I wanted to know how to numerically implement methods in real-time (embedded platforms) to solve the formulated problems (Since my job involves firmware development). I am assuming from your question that you are interested in some practical implementation/simulations too.

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< A SAMPLE PIPELINE >

Optimization problem formulation -> Enumerating solution methods to formulated problem -> Algorithm development (on MATLAB for instance) -> Numerical analysis and fixed-point modelling -> Software implementation -> Optimized software implementation.

​

So, building from my coursework during my Masters (Involving the standard LinAlg, S&P, Optimization, Statistical Signal Processing, Pattern Recognition, <some> Real Analysis and Numerical methods), I mapped out a curriculum for myself to achieve the goals I explained in paragraph 1. The Optimization/Numerical sections of the same is as below:

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OPTIMIZATION MODELS:

  1. Optimization Models by Calafiore and El Ghaoui (Excellent and thorough reference book)
  2. Non-linear Programming by D.Bertsakas ( I agree that nonlinear programming is very relevant and will be very useful in the future too)

  1. Convex Optimization by S. Boyd and Vandenberghe (Another very good book for basics)

  1. Numerical Linear Algebra by L.N.Trefethen and D.Bau III (Very good explanation of concepts and algorithms and you might be able to find a free ebook version online)
  2. Numerical Optimization by Jorge Nocedal and S.Wright (Both authors are very accomplished and the textbook is well regraded as a sound introduction to this subject)
  3. Numerical Algorithms by Justin Solomon (He's a very good teacher whose presentation is digestible immediately)

  • His Lectures are here: https://www.youtube.com/playlist?list=PLHrg69yaUAPeiLEsa-1KauSe2HaA0Wf6I

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    Personally I think this might be a good starting point, and as other posters have mentioned, you will need to tailor it to your use-case. Remember that learning is always iterative and you can re-discover/go deeper once you've finished a first pass. Front-loading all the knowledge at once usually is impractical.

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    All the best and hope this helped!
u/dp25x · 1 pointr/optimization

A good book that has a large number of sample models is "Model Building in Mathematical Programming" by H.P. Williams

IBM has a large collection of examples, which they provide example solutions for, in their documentation for their CPLEX Studio product stack.

If you are interested in constraint programming, the IBM collection has a number of relevant examples, and there are a lot of example you could find for the MiniZinc platform. Here is a collection of examples that come from a coursera MOOC that might be worth investing some time in.

If you are interested in Metaheuristic/Search types of optimization, the OptaPlanner tool has some great examples that are worth a look.