Skip over navigation

Course Offerings

Course Evaluation Results

Course Details

Spring 2011-2012
* ORF 307 / EGR 307   na, npdf

Optimization

Robert J. Vanderbei

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

Reading/Writing assignments:
Weekly problem sets requiring about 3 hours per week.

Requirements/Grading:
Mid Term Exam - 30%
Final Exam - 40%
Other Exam - 10%
Problem set(s) - 20%

Other Requirements:
Course is required for concentrators

Prerequisites and Restrictions:
MAT 202 or 204. Basic computer programming knowledge suggested.

Website:  http://www.orfe.princeton.edu/~rvdb/307/lectures.html

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
40660 L01 3:00 pm - 4:20 pm T Th   Friend Center   101   Enrolled:77 Limit:110
P01 7:30 pm - 8:20 pm T   Sherrerd Hall   101   Enrolled:0 Limit:48
P02 7:30 pm - 8:20 pm W   Sherrerd Hall   101   Enrolled:0 Limit:48