| Tutorials, Books and a Dictionary | Tutorials and online books |
 | LP-book  | an introduction to linear programming and the simplex method, with online exercises | | Computational Techniques of the Simplex Method | Recent comprehensive monograph | | Linear Optimization: Theory, methods, and extensions | Introduction to linear programming, sensitivity analysis, simplex and interior point methods | | Web-LP-tutorial | an online course on linear programming including mixed integer variables, with online exercises | | Column Generation | tutorial for LP, IP with applications | | NEOS-Guide-Optimization-Tree | A short introduction into the field of optimization in general with some basic theory and pointers to solvers | | Nonlinear Programming Review | Introductory survey article on NLP methods including for large scale problems; PS and PDF formats. | | Introduction to Convex Optimization with Engineering Applications | 16 lectures from Stephen Boyd at Stanford, including applications in data fitting, filter design and VLSI design plus student's homework. | | Topology Optimization | for structural problems, MEMS | | Richard Webster's OR, Stats, and Control courses | class notes over several years | | A course in combinatorial optimization | lecture notes by A. Schrijver | | OR-courses | a list of courses covering diverse fields of optimization, operations research, and management science | | Solving Real World Linear Programs | survey article by Bixby | | MIP Theory and Practice | survey article by Bixby et al | | OR-Notes | by J. E. Beasley, deterministic and stochastic topics | | Practical Multiobjective Optimisation | introduction with survey of methods | | OR Class Notes | Integer programming, Networks, dynamic programming, stochastic dynamic programming, OR-methods overview and management science. | | Stochastic Programming: Computational Issues and Challenges | Survey article by Suvrajeet Sen | | Polynomial methods for robust control | Course by Didier Henrion |
| A dictionary |
| A list of books |
Optimization is a very lively area, hence standard textbooks become outdated very fast. Therefore only a very restricted and certainly subjective list of books is presented here, mainly extracted from the FAQs initiated by Gregory and presently maintained by R. Fourer.
books on or containing a considerable amount of LP theory or practice:
| Bertsimas, D. and Tsitsiklis, J.: Introduction to Linear Optimization. Athena Scientific, 1997. Graduate-level text on linear programming, network flows, and discrete optimization. | | Dantzig, G. B.: Linear Programming and Extensions, Princeton University Press, 1963. The most widely cited early textbook in the field. | | Dantzig, George B. and Thapa, Mukund N.: Linear Programming 1: Introduction, Springer Verlag, 1997. | | Luenberger, D. G.: Introduction to Linear and Nonlinear Programming, Addison Wesley, 1984. Updated version of an old classic. Well suited for beginners. | | Nash, S. and Sofer, A.: Linear and Nonlinear Programming, McGraw-Hill, 1996. | | Roos, C., Terlaky T. and Vial, J. Ph.: Theory and Algorithms for Linear Optimization: An Interior Point Approach. John Wiley, Chichester, 1997. | | Schrijver, A.: Theory of Linear and Integer Programming, John Wiley, 1999. Advanced, very well written. | | Vanderbei, R. J.: Linear Programming: Foundations and Extensions. Kluwer, 1996. Balanced coverage of simplex and interior-point methods. Source code available on-line for all algorithms presented. | | Williams, H.P., Model Building in Mathematical Programming, John Wiley 1999, 4th edition. Little on algorithms, but excellent for learning what makes a good model. | | Wright, St. J.: Primal-Dual Interior-Point Methods. SIAM Publications, 1997. Covers theoretical, practical and computational aspects of the most important and useful class of interior-point algorithms. | | Ye, Yinyu: Interior Point Algorithms: Theory and Analysis. John Wiley, 1997. |
Now a table of books mainly devoted to nonlinear programming
| Avriel, M. and Golany, B.: Mathematical Programming for Industrial Engineers. Marcel Dekker:1996. Contains introductory chapters to several areas of mathematical optimization. well suited for beginners. | | Bonnans, J.F., Gilbert, J.C., Lemarechal, C., Sagastizabal, C.A.: Numerical Optimization. Springer: 2003. Both theory and details on implementations; nonsmooth optimization, interior-point methods etc. | | Bertsekas, Dimitri P.: Nonlinear Programming, second edition. Athena Scientific, 1999. | | Bjoerck, Ake : Numerical methods for least squares problems. Philadelphia, SIAM 1996. Very well written book with lots of nonstandard information. | | Dennis, E. and Schnabel, B.: Numerical Methods for Unconstrained Optimization and Nonlinear Equations. Prentice Hall, 1983. (reprinted by SIAM) (a classic in its field). | | Du and Pardalos, P.: Minimax and Applications. Kluwer, 1995. | | Fiacco, A. and McCormick, G. P.: Sequential Unconstrained Minimization Techniques. reprinted by SIAM. (A classic from 1968, given new life by the interior point LP methods.) | | Fletcher, R.: Practical Methods of Optimization. John Wiley, 1987. "The" reference at the date of its printing. | | Gill, Ph.E., Murray, W. and Wright, M.: Practical methods of optimization. New York:Acad. Press 1982 (a bit dated with respect to methods, but with many hints for practitioners) | | Horst R., Pardalos P., and Thoai, V.: Introduction to global optimization. Kluwer, 1995. | | Horst R. and Pardalos P.: Handbook of Global Optimization. Kluwer, 1994. | | Kelley, C.T.: Iterative methods of optimization. Philadelphia: SIAM 1999. | | Luenberger, D.: Introduction to Linear and Nonlinear Programming. Addison Wesley, 1984. (Updated version of an old classic. Well suited for beginners.) | | Miettinen,K.: Nonlinear Multiobjective Optimization, Kluwer. 1999. | | More, J.J. and Wright, St.: Optimization Software Guide. SIAM, 1993. Contains overview and comments existing software, mainly commercial. | | Nash, S. and Sofer, A.: Linear and Nonlinear Programming. McGraw-Hill, 1996. | | Nemhauser, G.L., Rinnooy Kan,A.H.G. and Todd, M.J.: Optimization. (Handbook in Operations Research and Management Science Vol I). North Holland, 1989. Contains excellent introductions to severals areas of optimization. | | Nocedal, J. and Wright, St.: Numerical Optimization. Springer Verlag, 1999. Very well written modern introduction into continuous optimization. | | Tawarmalani, M. and Sahinidis, N. V.: Convexification and Global Optimization in Continuous and Mixed-Integer Nonlinear Programming. Kluwer, 2002 . Based on BARON software. | | Pinter, J.D.: Global Optimization in Action. Kluwer, 1996. Book received 2000 INFORMS Computing Society Prize | | Pinter, J.D.: Computational Global Optimization in Nonlinear Systems. Lionheart Publ., 2001. short e-book, demo software included | | Spellucci, P.: Numerische Verfahren der nichtlinearen Optimierung. Birkhäuser, Basel 1993 (in German).
course_script_1 / course_script_2 |
Books on computational/automatic differentiation
Books on non-classical techniques
| Corne D., Dorigo, M., and Glover, F.: New Ideas in Optimization Chapters on various methods: Simulated Annealing, Genetic Programming, Tabu Search, Differential Evolution etc | | Michalewicz, Z., Fogel, D.B.: How to Solve It: Modern Heuristics, Springer Verlag 2000 |
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