SubjectsSubjects(version: 849)
Course, academic year 2019/2020
   Login via CAS
Chapters on modern optimization and equilibria - NMEK606
Title in English: Kapitoly z moderní optimalizace a ekvilibrií
Guaranteed by: Department of Probability and Mathematical Statistics (32-KPMS)
Faculty: Faculty of Mathematics and Physics
Actual: from 2019
Semester: summer
E-Credits: 3
Hours per week, examination: summer s.:2/0 Ex [hours/week]
Capacity: unlimited
Min. number of students: unlimited
State of the course: taught
Language: Czech
Teaching methods: full-time
Note: you can enroll for the course repeatedly
Guarantor: RNDr. Michal Červinka, Ph.D.
doc. RNDr. Petr Lachout, CSc.
doc. Ing. Jiří Outrata, DrSc.
Class: Pravděp. a statistika, ekonometrie a fin. mat.
M Mgr. PMSE
M Mgr. PMSE > Volitelné
Classification: Mathematics > Optimization
Annotation -
Last update: T_KPMS (09.05.2014)
The lecture builds up base of modern optimization and equilibria theory.
Aim of the course -
Last update: T_KPMS (25.04.2016)

(i)

Lecture builds up fundaments of variation geometry and of calculus for nonsmooth singlevalued and multivalued mappings. The main task is to develop the generalized differential calculus of the first and the second order, variational principles and stability theory of multivalued mappings.

(ii)

The theory is applied to particular problems of optimization and game theory. The considered problems belong to generalized problems of mathematical programming, variational and quasi-variational inequalities, noncooperative equilibria and games with hierarchic structure.

Course completion requirements -
Last update: doc. RNDr. Petr Lachout, CSc. (11.10.2017)

The course is finalized by exam.

Literature - Czech
Last update: T_KPMS (09.05.2014)

[1] B.S. Mordukhovich: Variational Analysis and Generalized Differentiation, Vol. 1: Basic Theory, Vol. 2: Applications, Springer, Berlin, 2006.

[2] R. T. Rockafellar: Applications of convex variational analysis to Nash equilibrium, Proceedings of 7th International Conference on Nonlinear Analysis and Convex Analysis (Busan, Korea, 2011), 173-183.

[3] R.T. Rockafellar, R. J.-B. Wets: Variational Analysis, Springer, Berlin 1998.

[4] W. Schirotzek: Nonsmooth Analysis, Springer, Berlin, 2007.

Teaching methods -
Last update: T_KPMS (09.05.2014)

Lecture.

Requirements to the exam -
Last update: doc. RNDr. Petr Lachout, CSc. (11.10.2017)

The exam is oral.

Examination is checking knowledge of all matters read by the course lecturer.

Syllabus -
Last update: T_KPMS (09.05.2014)

Nonconvex nonsmooth analysis

1) Variational geometry nonconvex sets. (Several types of normal cones and their relations).

2) Subdiferentials and coderivatives (Fréchet, proximal, Clarke, Mordukhovich).

3) First order calculus with relaxed constraint qualification based on chain rules.

4) Second order calculus (derivatives of compositions for polyhedral and conic constraint systems).

5) Applications: Optimality conditions, stability analysis of multifunction, error bound property, nonsmooth numerical methods.

Entry requirements -
Last update: doc. RNDr. Petr Lachout, CSc. (30.05.2018)

basic of optimization theory, convex analysis

 
Charles University | Information system of Charles University | http://www.cuni.cz/UKEN-329.html