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- Avriel, M. and Golany, B.:
Mathematical Programming for Industrial Engineers.
Marcel Dekker:1996.
Remark: Contains introductory chapters
to several areas of mathematical optimization. well suited for beginners.
- Bertsekas, Dimitri P.:
Nonlinear Programming
2nd ed. Athena
Scientific, 1999.
- Bjoerck, Ake :
Numerical methods for least squares problems.
Philadelphia, SIAM 1996.
Remark: Very well written book with lots of nonstandard information.
- Bonnans, J.F., Gilbert, J.C., Lemarechal, C., Sagastizabal, C.A.:
Numerical Optimization
(2nd edition).
Springer: 2006.
Remark: Both theory and details on implementations;
nonsmooth optimization, interior-point methods etc.
- Bücker, M. et al (eds.):
Automatic Differentiation - Applications, Theory and Implementations
Springer 2006.
Remark: covers the state of the art in automatic differentiation theory
and practice.
-
Conn, A.R., Scheinberg, K., and Vicente, L.N.:
Introduction to Derivative-Free Optimization .
SIAM:2009.
Remark:First contemporary comprehensive treatment of optimization without derivatives
- Dennis, E. and Schnabel, B.:
Numerical Methods for Unconstrained Optimization and Nonlinear Equations.
Prentice Hall, 1983.
(reprinted by SIAM).
Remark: a classic in its field.
- Fiacco, A. and McCormick, G. P.:
Sequential Unconstrained Minimization
Techniques.
reprinted by SIAM.
Remark: A classic from 1968, given new life by the interior point LP methods.
-
Griewank, A. and Walther, A. :
Evaluating Derivatives: Principles
and Techniques of Algorithmic Differentiation
2nd edition.
Philadelphia, PA: SIAM (2008)
- Griva, Igor; Nash, Stephen G.; Sofer, Ariela:
Linear and nonlinear optimization.
2nd ed.
Philadelphia, PA: SIAM (2009).
-
Hansen, E, and G.W. Walster:
Global Optimization Using Interval Analysis.
Dekker, 2003.
Remark: technique not covered by this tool, but of increasing importance.
-
Kelley, C.T.:
Iterative methods of optimization.
Philadelphia: SIAM 1999.
-
Luenberger, D. G. and Ye, Yinyu:
Introduction to Linear and Nonlinear
Programming
Springer, 2008.
- Nocedal, J. and Wright, St.:
Numerical Optimization .
2nd ed.
Springer, 2006.
Remark: Very well written modern introduction into continuous optimization.
-
Roos, C., Terlaky T. and Vial, J. Ph.:
Theory and Algorithms for Linear
Optimization: An Interior Point Approach.
John Wiley, Chichester, 1997.
-
Vanderbei, R. J.:
Linear Programming: Foundations and Extensions.
Springer, 1996.
Remark: Balanced coverage of simplex and interior-point methods.
Source code available on-line for all algorithms presented.
-
Ye, Yinyu:
Interior Point Algorithms: Theory and Analysis.
John Wiley,
1997
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