Matriksberegning og konveks optimering

2018/2019

Forudsætninger/Anbefalede forudsætninger for at deltage i modulet

The module builds on knowledge from Linear Algebra / Calculus

Modulets indhold, forløb og pædagogik

Engineering systems and design problems can often be compactly described analyzed and manipulated using matrices and vectors. Moreover, tractable solutions to design problems can be obtained by casting the design problems as optimization problems. For the class of linear and quadratic problems, the solutions can be obtained by solving systems of equations. In computer programs, this is achieved via matrix factorizations. For the larger class of convex problems, no closed-form solution may exist and numerical methods must be applied. This course aims at teaching numerically robust methods for solving systems of equations and, more generally, convex optimization problems, including also standard constrained problems.

Læringsmål

Viden

  • Knowledge about convex functions and sets, norms, special matrices
  • Understand how to classify and solve systems of equations and convex optimization problems
  • Understand numerical aspects of solving systems of equations and convex optimization problems
  • Knowledge about Lagrange multipliers
  • Understand matrix factorizations and their properties

Færdigheder

  • Identify optimization problems and cast them into standard form
  • Identify types of extreme (minima, maxima, local, global, etc.)
  • Apply eigenvalue and singular value decomposition to relevant matrix problems
  • Have understanding of state space descriptions of systems of linear differential equations
  • Apply numerically robust methods to solve systems of equations
  • Apply and implement the following numerical optimization methods to unconstrained optimization problems: Steepest Descent, Newton's method, Gauss-Newton method
  • Apply and interpret least-squares in solving over-determined systems of equations
  • Apply the Lagrange multiplier method to constrained convex optimization problems

Kompetencer

  • Apply linear algebra theory to analyze engineering systems in their field
  • State and analyze engineering design problems in their field as systems of equations or standard optimization problems
  • Select the appropriate matrix factorization or numerical optimization method to solve engineering design problems in their field

Undervisningsform

Lectures with exercises. Student projects on engineering application in their field

Eksamen

Prøver

Prøvens navnMatriksberegning og konveks optimering
Prøveform
Skriftlig eller mundtlig
ECTS5
BedømmelsesformBestået/ikke bestået
CensurIntern prøve
VurderingskriterierSom angivet i Fællesbestemmelser for uddannelser
http:/​/​www.tech.aau.dk/​uddannelse/​Studieadministration/​

Fakta om modulet

Engelsk titelMatrix Computations and Convex Optimization
ModulkodeESNEITB6K2
ModultypeKursus
Varighed1 semester
SemesterForår
ECTS5
TompladsJa
UndervisningsstedCampus Aalborg
Modulansvarlig

Organisation

StudienævnStudienævnet for Elektronik og IT
FakultetDet Tekniske Fakultet for IT og Design