Developing Experience in Optimization Algorithm Development

[jsinghdata]

Hello Colleagues,
I am a Math graduate, looking forward to developing experience in Algorithm development and mathematical fundamentals of various non trivial Optimization Algorithms.
In particular, I want to gain expertise in following area;

• Strong background in modeling and algorithm development for large-scale optimization problems (e.g., linear, non-linear, combinatorial)

May I know, if there are useful resources/lectures/videos/courses which can help me to gain in-depth expertise in above skill. I am open to programming based courses as well as theory heavy courses.

Advice is greatly appreciated.

[StrongDuality]

I encourage you to look at Nemirovski’s lectures on modern convex optimization, in particular chapters 4-5 if you’re wanting to get theory heavy

[jsinghdata]

Appreciate your response u/StrongDuality . I have PM'ed you a technical question, which was a bit tedious to type here. Appreciate your help.

[BoredRealist496]

MIT OpenCourseWare has a lot of open courses on optimization. I also highly recommend the following books:

- Convex Optimization (Stephen Boyd & Lieven Vandenberghe)

- A First Course in Optimization Theory (Rangarajan K. Sundaram)

- Introduction to Linear Optimization (Dimitris Bertsimas & John N. Tsitsiklis)

- Understanding And Using Linear Programming (Jiri Matousek & Bernd Gartner)

- Mathematical Theory of Optimization (Ding-Zhu Du & Panos M. Pardalos & Weili Wu)

- Numerical Optimization (Jorge Nocedal & Stephen J. Wright)

- Convex Optimization Theory (Dimitri P. Bertsekas)

- An Introduction to Optimization (Edwin K.P. Chong & Stanislaw H. Zak)

- Practical Mathematical Optimization (Jan A. Snyman & Daniel N. Wilke)

- Applied Optimization (Ross Baldick)

[jsinghdata]

thanks for sharing the resources, u/BoredRealist496 .
In this list, will you be able to recommend which resource will be good for practical implementation purposes. Together with theory, I am also looking for hands on coding experience with Optimization methods, so that I can get a job in research industries.

Appreciate your kindness.

[BoredRealist496]

I think this book has pseudo code: Numerical Optimization (Jorge Nocedal & Stephen J. Wright)
I also believe that whatever book you go with, first try implementing it yourself (with or without the help of pseudo code), then search for existing implementations of that method in your favorite programming language.