Media Summary: Augmented Lagrangian Method and method of multiplier examples. Newsvendor problem, solving multi-stage stochastic program with recourse using dynamic Multi-armed bandit problems, lower bound on the achievable regret, UCB1 Algorithm.
Ece 5759 Nonlinear Optimization Lec 19 - Detailed Analysis & Overview
Augmented Lagrangian Method and method of multiplier examples. Newsvendor problem, solving multi-stage stochastic program with recourse using dynamic Multi-armed bandit problems, lower bound on the achievable regret, UCB1 Algorithm. Quasi Newton method, DFP and BFGS method, connection to conjugate direction method. Sensitivity theorem, Fritz-John necessary conditions for optimality. Penalty and augmented Lagrangian method, augmented Lagrangian method for inequality constrained problems.
Gradient projection method, scaled gradient projection method. Lagrange multiplier method and sensitivity theorem, problems with inequality constraints.
