Description: Basics of numerical optimization: problem formulation, conditions of optimality, search direction and step length. Calculus-based techniques for univariate and multivariate optimization.

This is a preview. Log in through your library . Abstract We apply conjugate duality to establish the existence of optimal portfolios in an assetallocation problem, with the goal of minimizing the ...

Students will learn about the most common numerical optimization algorithms for solving smooth unconstrained and constrained optimization problems. They will understand the theoretical foundation and ...