Abstract

This seminar will capture recent developments in state-of-the-art continuous optimization.  The day is split into 4 thematic sessions: introduction to optimization; derivative-free optimization; modern convex optimization; and algorithmic differentiation.  Each session will last for approximately 90 minutes.

1. Introduction to optimization

This session focuses on general optimization principles.  We will give an overview of the capabilities and limitations of modern numerical solvers and how to correctly use them:

• benchmarking and choosing the solver;
• the importance of precise derivative evaluations;
• interpreting convergence measures;
• understanding the output of the solver;
• avoiding common modelling pitfalls.

2. Derivative-free optimization

Calibrating numerical models is a common optimization problem.  Very often, evaluating these models involve heavy computations that can be either very expensive or very noisy if they are not run to full convergence.  In such a case using classical derivative-based optimization methods may not be advisable as computing the model's gradient can become a difficult challenge.  Finite-differences are often not realistic in terms of computing time, and even more sophisticated methods such as algorithmic differentiation can fail in the presence of noise.  In this session we give a description of state-of-the-art derivative-free algorithms and how they can handle noise in the function evaluations.

3. Modern convex optimization

When the modelled problem is convex, most of the time numerical optimization solvers can make use of its far stronger theoretical properties.  However, formulating the problem in a form that is exploitable for the solver can be quite a challenge.  We will present some background on conic convex problems (Second Order Conic Programming - SOCP - and Semi-Definite Programming - SDP) and give some hints on the modelling possibilities opened by such solvers.  We will show some common convex reformulations and some examples of their use in various industries.

4. Algorithmic Differentiation (AD)

Program

Morning

• 08h45 - 09h00 – Welcoming participants
• 09h00 - 09h15 – Presentation of the day
• 09h15 - 10h45 – Introduction to optimization
• 10h45 - 11h00 - Pause
• 11h00 – 12h30 – Derivative-free optimization
• 12h30 - 13h30 – Buffet lunch - Networking

Afternoon

• 13h30 - 15h00 – Modern convex optimization
• 15h00 - 15h15 - Pause
• 15h15 - 16h45 – Algorithmic Differentiation (AD)
• 16h45 - 17h00 - Conclusion

Registration

• Free seminar, limited places!
• Lunch will be offered as a buffet to all participants.
  
• For more information, contact NAG via Email or +33 6 85 46 42 03
• Seminar reserved for professionals.
• Register HERE by completing the form