优化理论.
http://www.newsmth.net/bbsdoc.php?board=Optimization代码实现
线性优化
The problem is usually expressed in matrix form, and then becomes:
maximize CT x
subject to A x <= B
x >= 0
NEOS
Some COIN-OR solvers can be accessed on-line through NEOS. You only need a description of the optimization problem you want to solve---all additional information required by the solver is determined automatically. The following COIN-OR solvers run on NEOS. (Click on the links below to get to the solver's webpage on NEOS.)
- BonMin, Basic Open-source Nonlinear Mixed INteger program solver on NEOS using AMPL input
- CLP COIN Linear Program Solver on NEOS using MPS input
- CBC Coin Branch and Cut Solver on NEOS
- IPOPT Large-Scale Nonlinear Optimization Solver on NEOS using AMPL input
二次型优化
书籍
Convex Optimization
Stephen Boyd
Department of Electrical Engineering
Stanford University
Lieven Vandenberghe
Electrical Engineering Department
University of California, Los Angeles
JohnNash (A Beautitful Mind) 于 (Sat Jul 5 09:17:09 2008) 提到:
我来说几个比较经典的
Introduction to Linear Optimization by Dimitris Bertsimas
Nonlinear Programming by Dimitri P. Bertsekas
Convex Optimization by Stephen Boyd
Dynamic Programming and Optimal Control by Dimitri P. Bertsekas
Introduction to Algorithms by CLRS
Combinatorial Optimization: Algorithms and... by Christos H. Papadimitriou
Integer and Combinatorial Optimization by Laurence A. Wolsey and George L. Nemhauser
Network Flows: Theory, Algorithms, and Applications by Ravindra K. Ahuja, Thomas L. Magnanti, and James B. Orlin
大家再列一下比较经典的尤其是stochastic optimization, robust optimization的书籍吧。:)
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lyinsea (lyinsea) 于 (Sat Jul 5 09:48:26 2008) 提到:
Stochastic Programming: Introduction to Stochastic Programming Authors: John R. Birge, Francois Louveaux
Robust Optimization: 可以看 Lectures on Modern Convex Optimization by A. Ben-Tal, A. Nemirovski, 非 常棒的书，虽然不是专门讲robust optimization的，但是有涉及，很少有robust optimization的书吧 但是 Ben-Tal和Nemirovski算是robust optimization的先驱了
再推荐一本 Numerical Optimization Author Jorge Nocedal and Stephen Wright 我很喜欢的书 very easy reading
国内袁亚湘 孙文瑜写的 最优化理论与方法也很comprehensive 但是个人觉得写的数学味太浓烈了 不适合我等脑子不灵的人 但是不失为一本好书
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DrumMania (羊城大少) 于 (Sat Jul 5 12:50:05 2008) 提到:
bertsekas有本parallel & distributed computing，是关于优化的，非常好
在他主页上就能下载
optimal control还有几本，bryson & ho, lee & markus, athans
算法:
非约束优化 descent method, newton's method,
等式约束优化 newton方法,
不等式约束优化 内点法interior-point method, barrier method,