Intro to Optimization

Chapter 1:
Introduction {Review of Modelling}

Variants/examples of LP; Graphical representation and solution

Chapter 2:
The Geometry of Linear Programming
Polyhedra/convex sets; Extreme points, vertices, basic solutions
Polyhedra in standard form; Degeneracy
Existence of extreme points; Optimality of extreme points

Chapter 3:
The Simplex Method
Optimality conditions; Development of the simplex method
Implementations of the simplex method
Anticycling; Finding an initial basic feasible solution

Chapter 4:
Duality Theory
Motivation; The dual problem; The duality theorem
Optimal dual variables; Standard forms and dual simplex method
Farkas' lemma and linear inequalities
Cones and extreme rays

Chapter 5:
Sensitivity Analysis
Local sensitivity analysis; Global dependence on the RHS vector
Global dependence on the cost vector; Parametric programming

Chapter 6:
Large-scale Linear Programming
Delayed column generation; The cutting stock problem
Cutting plane methods; Dantzig-Wolfe decomposition

Chapter 7:
Network Flow Models
Formulation of the network flow problem; Network simplex algorithm
The maximum flow problem
The assignment problem and the auction algorithm
The shortest path problem; The minimum spanning tree problem

Chapter 9:
Interior Point Methods
The affine scaling algorithm
The potential reduction algorithm
The primal path following algorithm
The primal-dual path following algorithm

Chapter 10:
Integer Programming Formulations
Modeling techniques
Guidelines for strong formulations
Modeling with exponentially many constraints

Chapter 11:
Integer Programming Methods
Cutting plane methods; Branch and bound
Dynamic programming; Integer programming duality

Intro to Probabilistic Modeling

Markov chains:
definition, transition probabilities, special Markov chains (random walks,
dams and inventories, branching processes), classification of states, limit
theorems;
Poisson processes:
derivations, homogeneous, non-homogeneous processes, spacial and
marked Poisson processes;
Continuous-time Markov chains:
the Chapman-Kolmogorov equation, birth and death
processes, the case of a finite state space, special cases, limiting behavior;
Renewal processes:
definition, the renewal function, replacement models, renewal theorems, inspection paradox, applications;
Brownian motions:
definition, processes with independent increments, the maximum variable and the reflection principle, Brownian bridge, geometric Brownian motion,
applications
in modern financial theory, Black-Scholes-Merton (BSM) formula for European
call option;
Queueing theory:
Queueing systems, Littles formula, Poisson arrivals and exponential
and general service times, the case of an infinite number of servers, priority
queues, queueing
systems.

Linear Algebra
Vector (linear) Space,
Subspaces;
Linear dependence,
Basis, dimension;
Linear transformations:
Null space,
Range; Algebra of linear transformations,
Matrix representation, composition, invertibility and isomorphism;
Change of coordinate matrix;
Dual Spaces.
Brief review of Matrices, Systems of linear equations and Determinants;
Spectral theory: Eigen values and Eigen vectors,
Diagonalizability,
Cayley-Hamilton Theorem
Generalized eigenvectors;
Orthonormal basis; Normal, Self Adjoint,
Unitary and Orthogonal operators;
Orthogonal projections and spectral theorem;

Singular Value Decomposition and Pseudo inverse;

Geometry of orthogonal operators;
Invariant Subspaces,
Jordan Canonical form.