This book offers a comprehensive introduction to optimization with a focus on practical algorithms. The book approaches optimization from an engineering perspective, where the objective is to design a system that optimizes a set of metrics subject to constraints. Readers will learn about computational approaches for a range of challenges, including searching high-dimensional spaces, handling problems where there are multiple competing objectives, and accommodating uncertainty in the metrics. Figures, examples, and exercises convey the intuition behind the mathematical approaches. The text provides concrete implementations in the Julia programming language.
Topics covered include derivatives and their generalization to multiple dimensions; local descent and first- and second-order methods that inform local descent; stochastic methods, which introduce randomness into the optimization process; linear constrained optimization, when both the objective function and the constraints are linear; surrogate models, probabilistic surrogate models, and using probabilistic surrogate models to guide optimization; optimization under uncertainty; uncertainty propagation; expression optimization; and multidisciplinary design optimization. Appendixes offer an introduction to the Julia language, test functions for evaluating algorithm performance, and mathematical concepts used in the derivation and analysis of the optimization methods discussed in the text. The book can be used by advanced undergraduates and graduate students in mathematics, statistics, computer science, any engineering field, (including electrical engineering and aerospace engineering), and operations research, and as a reference for professionals.
Mykel Kochenderfer is Associate Professor at Stanford University, where he is Director of the Stanford Intelligent Systems Laboratory (SISL). He is the author of Decision Making Under Uncertainty (MIT Press). Kochenderfer and Tim Wheeler are coauthors of Algorithms for Optimization (MIT Press).
Tim Wheeler is a software engineer in the Bay Area, working on autonomy, controls, and decision-making systems. Wheeler and Mykel Kochenderfer are coauthors of Algorithms for Optimization (MIT Press).
Password-protected supplements for educators include: File of figures in the book.
