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. Attention will be devoted to efficient solution algorithms. These algorithms will be illustrated on real-world examples such as those mentioned.
Associated course analyses
- Optimization F 2017