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Mathematical Optimization for Engineers

edX, Online
8 weeks
99 USD
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Virtual Classroom
8 weeks
99 USD
Next course start
Inquire for more information See details
Virtual Classroom
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Course description

Mathematical Optimization for Engineers

This course is useful to students of all engineering fields. The mathematical and computational concepts that you will learn here have application in machine learning, operations research, signal and image processing, control, robotics and design to name a few.

We will start with the standard unconstrained problems, linear problems and general nonlinear constrained problems. We will then move to more specialized topics including mixed-integer problems; global optimization for non-convex problems; optimal control problems; machine learning for optimization and optimization under uncertainty. Students will learn to implement and solve optimization problems in Python through the practical exercises.

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  • Virtual Classroom
  • Online
  • English

Who should attend?


You should have basic knowledge of linear algebra, vector calculus and ordinary differential equations. Familiarity with numerical computing is helpful but not required; programming tasks will be kept basic and simple. You will write simple Python scripts in Jupyter notebooks. We will provide some basic Python tutorials.

Training content

Introduction and math review

  • Mathematical definitions of objective function, degrees of freedom, constraints and optimal solution with real-world examples
  • Review of some mathematical basics needed to take us through the course

Unconstrained optimization

  • Basics of iterative descent: step direction and step length
  • Common algorithms like steepest descent, Newtons method and its variants and trust-region methods.

Linear optimization

  • KKT conditions of optimality for constrained problems
  • Simplex method
  • Interior point methods

Nonlinear optimization

  • Penalty, log-barrier and SQP methods

Mixed-integer optimization

  • Branch and bound method for mixed-integer linear problems

Global optimization

  • Branch and bound method for nonlinear non-convex problems
  • Constructing relaxations
  • Different formulations and their numerical performance
  • Stochastic methods, genetic algorithm and derivative free methods

Dynamic optimization

  • Full discretization, single-shooting and multi-shooting methods
  • Nonlinear model predictive control

Machine learning for optimization

  • Mechanistic, data-driven and hybrid modelling>
  • Basics of training machine learning models
  • Optimization with machine learning embedded

Optimization under uncertainty

  • Parametric optimization
  • Two stage stochastic problems
  • Robust optimization via semi-infinite problems

Course delivery details

This course is offered through RWTH Aachen University, a partner institute of EdX.

6-8 hours per week


  • Verified Track -$99
  • Audit Track - Free

Certification / Credits

What you'll learn

  • Mathematical definitions of objective function, degrees of freedom, constraints and optimal solution
  • Mathematical as well as intuitive understanding of optimality conditions
  • Different optimization formulations (unconstrained v/s constrained; linear v/s nonlinear; mixed-integer v/s continuous; time-continuous or dynamic; optimization under uncertainty)
  • Fundamentals of the solution methods for each these formulations
  • Optimization with machine learning embedded
  • Hands-on training in implementing and solving optimization problems in Python, as exercises

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141 Portland Street
02139 Cambridge Massachusetts


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