Lectures Based on

Linear Programming: Foundations and Extensions

Graduate Level

Fall 2012

Week	Tuesday	Thursday
0		Examples and Definitions
1	The Simplex Method	Degeneracy
2	Efficiency	Duality
3	Matrix Notation	Sensitivity and Parametric Analysis
4	Game Theory	Regression
5	Network Flows --Theory	Network Flows--Algorithms
6	Network Flows--Applications	Midterm
Fall Break
7	Structural Optimization	Interior-Point Methods, Path-Following
8	Review of Midterm	Homogeneous Self-Dual Method
9	Review of Currency Exchange Exercise and Intro to AMPL	Thanksgiving
10	Applications in Astronomy	Convex Optimization, Nonconvex Optimization
11	Integer Programming	Other Applications
12	Pricing American Options---The Problem	Pricing American Options---The Duality-Based Solution

Slides from previous years:

• 2010
• 2007