Linear and Nonlinear Optimization, second edition, by I. Griva, S. G. Nash och A. Sofer, SIAM, 2009. (The book can be ordered from several places. Please note that you can become a SIAM member for free and obtain a discount at the SIAM bookstore.) The same book is also used in SF2822.
Exercises in applied linear optimization, . Available via Canvas.
Lecture notes in applied linear optimization, Available via Canvas.
Theory questions in applied linear optimization, 2024/2025. Available via Canvas.
GAMS, A user's guide. Available at the GAMS web site.
GAMS. GAMS is installed in the KTH linux computer rooms. It may also be downloaded from the GAMS web site for use on a personal computer.
Two project assignments that are handed out during the course, January 28 and February 10 respectively.
Additional notes that may be handed out during the course are also included.
Preliminary schedule
"L" means lecture, "E" means exercise session, "P" means project session.
Type
Day
Date
Time
Room
Subject
L1
Wed
Jan 15
15-17
U41
Introduction. Linear programming models.
L2
Thu
Jan 16
10-12
U21
Linear programming. Geometry.
L3
Fri
Jan 17
8-10
U31
Lagrangian relaxation. Duality. LP optimality.
L4
Mon
Jan 20
10-12
W25
Linear programming. The simplex method.
E1
Tue
Jan 21
8-10
U51
Linear programming. The simplex method.
L5
Wed
Jan 22
10-12
U31
More on the simplex method.
E2
Thu
Jan 23
13-15
W37
Linear programming. The simplex method.
P1
Mon
Jan 27
15-17
U21
Introduction to GAMS (please bring laptop).
P2
Tue
Jan 28
13-15
U21
GAMS excercise session + First project.
L6
Wed
Jan 29
13-15
U31
Stochastic programming.
E3
Thu
Jan 30
13-15
U41
Stochastic programming.
L7
Mon
Feb 3
13-15
U21
Interior methods for linear programming.
E4
Wed
Feb 5
10-12
U31
Interior methods for linear programming.
L8
Thu
Feb 6
13-15
U31
Integer programming models.
P3
Mon
Feb 10
15-17
U21
Presentation of project assignment 1.
L9
Wed
Feb 12
10-12
U21
Branch-and-bound.
E5
Thu
Feb 13
10-12
W37
Integer programming.
L10
Fri
Feb 14
8-10
U21
Decomposition and column generation.
E6
Mon
Feb 17
15-17
U21
Decomposition and column generation.
L11
Tue
Feb 18
13-15
U41
Lagrangian relaxation. Duality.
E7
Thu
Feb 20
15-17
U21
Lagrangian relaxation. Duality.
P4
Mon
Feb 24
13-15
U21
Presentation of project assignment 2.
L12
Wed
Feb 26
10-12
U31
Subgradient methods.
E8
Thu
Feb 27
13-15
U21
Subgradient methods.
L13
Mon
Mar 3
13-15
U31
TBD
Examination
Examination
The examination is in two parts, projects and final exam. To pass the course, the following requirements must be fulfilled:
Pass project assignment 1, with presence at the compulsory presentation lecture on Monday February 10 and presence at the following discussion session.
Pass project assignment 2, with presence at the compulsory presentation lecture on Monday February 24 and presence at the following discussion session.
Pass final exam.
Final exam
The final exam consists of five exercises and gives a maximum of 50 points. At the exam, the grades F, Fx, E, D, C, B and A are awarded. For a passing grade, normally at least 22 points are required. In addition to writing material, no other material is allowed at the exam. Normally, the grade limits are given by E (22-24), D (25-30), C (31-36), B (37-42) and A (43-50).
The grade Fx is normally given for 20 or 21 points on the final exam. An Fx grade may be converted to an E grade by a successful completion of two supplementary exercises, that the student must complete independently. One exercise among the theory exercises handed out during the course, and one exercise which is similar to one exercise of the exam. These exercises are selected by the instructor, individually for each student. Solutions have to be handed in to the instructor and also explained orally within three weeks of the date of notification of grades.
The final exam is given Friday March 7 2025.
Final grade
By identitying A=7, B=6, C=5, D=4, E=3, the final grade is given as
round( (grade on proj 1) + (grade on proj 2) + 2 * (grade on final exam) ) / 4),
where the rounding is made to nearest larger integer in case of a tie.
However, a final grade of C or higher requires at least a grade of D in the exam.
Project Assignments
The project assignments are performed in groups, where the instructor determines the division of project groups. This division is changed between the two assignments. The assignments are carried out by the modeling language GAMS. The project assignments must be carried out during the duration of the course and completed by the above mentioned presentation lectures. It is the responsibility of each student to allocate time so that the project group can meet and function. Presence at the presentation lectures is compulsory. For passing the projects, the following requirements must be fulfilled:
No later than the night before the presentation lecture, each project group must hand in a well-written report which describes the exercise and the project group's suggestion for solving the exercise through Canvas as a pdf file. Suitable word processor should be used. The report should be on a level suitable for another participant in the course who is not familiar with the group's specific problem.
At the beginning of the presentation lecture, each student should hand in an individual sheet with a brief self-assessment of his/her contribution to the project work, quantitatively as well as qualitatively.
At the presentation lecture, all assignments will be presented and discussed. The presentations and discussions will be made in small presentation groups, first in presentation groups where each student has worked on the same project assignment, and then in presentation groups where the students have worked on different project assignments. Each student is expected to be able to present the assignment of his/her project group, the modeling and the solution. In particular, each student is expected to take part in the discussion. The presentation and discussion should be on a level such that students having had the same assignment can discuss, and students not having had the same assignment can understand the issues that have arisen and how they have been solved. Each student should bring a copy of the project group's report to the presentation lecture, either in paper or electronically.
Each project group should make an appointment for a discussion session with the course leaders. There is no presentation at this session, but the course leaders will ask questions and give feedback. There will be time slots available the days after the presentation session. One week prior to the presentation lecture, a list of available times for discussion sessions will be made available at Doodle, announced via Canvas. Each project group should sign up for a discussion session prior to the presentation lecture.
Each project assignment is awarded a grade which is either fail or pass with grading E, D, C, B and A. Here, the mathematical treatment of the problem as well as the report and the oral presentation or discussion is taken into account. The exercises are divided into basic exercises and advanced exercises. Sufficient treatment of the basic exercises gives a passing grade. Inclusion of the advanced exercises is necessary for the higher grades (typically A-C). Normally, the same grade is given to all members of a project group. A student who has not worked on the advanced exercises says so in the self assessment form.
Each project group must solve their task independently. Discussion between the project groups concerning interpretation of statements etc. are encouraged, but each project group must work independently without making use of solutions provided by others. All project groups will not be assigned the same exercises.
Preparations before course start
Literature
To be announced at the beginning of the course. Preliminary literature:
Linear and Nonlinear Programming by S.G.Nash och A.Sofer, McGraw-Hill, and some material from the department.
Support for students with disabilities
Students at KTH with a permanent disability can get support during studies from Funka:
PRO1 - Project, 1.5 credits, Grading scale: A, B, C, D, E, FX, F
PRO2 - Project, 1.5 credits, Grading scale: A, B, C, D, E, FX, F
TEN1 - Examination, 4.5 credits, Grading scale: A, B, C, D, E, FX, F
Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.
The examiner may apply another examination format when re-examining individual students.
Ethical approach
All members of a group are responsible for the group's work.
In any assessment, every student shall honestly disclose any help received and sources used.
In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.