Descriptif

Prerequisites: MAA202, MAA208
Numerical optimization concerns the
minimization or maximization of an
objective function. It often relies on the
computation of the gradient of this function.
MAA209 covers several aspects of
the classical methods that are used in
such problems. For instance, the gradient
methods (or steepest descent), the nonlinear
conjugate gradient methods will
be seen. A particularly important topic
concerns the Newton-Raphson method,
which extends the mono-dimensional
Newton method to higher dimension.
MAA209 follows MAA208, since linear
algebra methods are heavily used. Applications
to the computation of the Eigen
elements of a matrix or to the resolution
of non-linear systems of equations are also
studied. As before, the course heavily uses
practical sessions, which are taken under
consideration for the grading.