Harvard AM205 video 4.10 - Sequential quadratic programming
Channel: Chris Rycroft
Date: 2020-12-07

Harvard Applied Math 205 is a graduate-level course on scientific computing and numerical methods. Video 4.7 in this series showed how to incorporate equality constraints into an optimization problem using Lagrange multipliers. This previous video looked at this from a purely mathematical perspective, but here we see how to numerically perform equality-constrained optimization using the Newton method. This leads to a useful framework called sequential quadratic programming.

See video 4.7 on equality-constrained optimization here:
https://youtu.be/yC91jurh29M

See video 4.8 on the Newton method for optimization here:
https://youtu.be/GlMkLfRDhmc

For more information see the main course website at https://people.math.wisc.edu/~chr/am205