Numerical Optimization

by Jorge Nocedal and Stephen J. Wright

This is an excellent book on numerical optimization. One of its unique features is that it presents advanced methods optimization that are usually not presented in an introductory numerical analysis course. Knowledge of these more advanced methods can make solving optimization problems that one encounters in industry much easier.

More information about this book can be found here.

On this page you will find some material I developed to improve my understanding as I worked through this book.

Download My Book Notes/Solutions.

Numerical Code Developed while Reading
    Chapter 5 (Conjugate Gradient Methods):
    • prob_1.m (runs the CG algorithm on Hilbert matrices.)
    • cgsolve.m (implements the conjugate gradient (CG) using Algorithm 5.2 from the book)
As always, I am interested in hearing back if any errors are found to exist.
John Weatherwax
Last modified: Thu Feb 1 09:17:36 EST 2007