* ORF 307 / EGR 307 na, npdf
Many real-world problems involve maximizing a linear function subject to linear inequality constraints. Such problems are called Linear Programming (LP) problems. Examples include min-cost network flows, portfolio optimization, options pricing, assignment problems and two-person zero-sumgames to name but a few. The theory of linear programming will be developed with a special emphasis on duality theory, Which is used to derive algorithms for solving LP problems. These algorithms will be illustrated on real-world examples such as those mentioned.
Sample reading list:
Robert Vanderbei, Linear Programming: Foundations and Extensions
Weekly problem sets requiring about 3 hours per week.
Mid Term Exam - 30%
Final Exam - 40%
Other Exam - 10%
Problem set(s) - 20%
Course is required for concentrators
Prerequisites and Restrictions:
MAT 202 or 204. Basic computer programming knowledge suggested.
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