Linear Programming
Foundations and Extensions
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Beschreibung
Introduces the latest theory and applications in optimization, emphasizing constrained optimization. You’ll find a host of practical business applications and non-business applications. The book offers free C programs to implement the major algorithms covered.
Linear Programming: Foundations and Extensions is an introduction to the field of optimization. The book emphasizes constrained optimization, beginning with a substantial treatment of linear programming, and proceeding to convex analysis, network flows, integer programming, quadratic programming, and convex optimization.
The book is carefully written. Specific examples and concrete algorithms precede more abstract topics. Topics are clearly developed with a large number of numerical examples worked out in detail.
Moreover, Linear Programming: Foundations and Extensions underscores the purpose of optimization: to solve practical problems on a computer. Accordingly, the book is coordinated with free efficient C programs that implement the major algorithms studied:
-The two-phase simplex method; -The primal-dual simplex method; -The path-following interior-point method; -The homogeneous self-dual methods.
In addition, there are online JAVA applets that illustrate various pivot rules and variants of the simplex method, both for linear programming and for network flows. These C programs and JAVA tools can be found on the book's webpage: <http://www.princeton.edu/-rvdb/LPbook/>. Also, check the book's webpage for new online instructional tools and exercises that have been added in the new edition.
Includes material on traditional business applications (resource allocation, blending, network flows) plus applications from other areas (robust statistics, game theory, optimal design of physical structures, etc.)
Includes many small fixes throughout the book, as well as a new chapter on financial applications, specifically portfolio optimization and option pricing
Breaks with tradition and develops the theory based on problems expressed in inequality form rather than the more conventional equality form
This carefully written book is an introduction to the field of optimization. It emphasizes constrained optimization, beginning with a substantial treatment of linear programming, and proceeding to convex analysis, network flows, integer programming, quadratic programming, and convex optimization. Specific examples and concrete algorithms precede more abstract topics. The third edition includes many small fixes throughout the book, as well as a new chapter on financial applications, specifically portfolio optimization and option pricing. Topics are clearly developed with a large number of numerical examples worked out in detail. Moreover, this book underscores the purpose of optimization: to solve practical problems on a computer. Accordingly, the book is coordinated with free efficient C programs that implement the major algorithms studied. The book's webpage has new online instructional tools and exercises that have been added in the new edition.
Autor*in
Robert J Vanderbei
Themen in »Linear Programming«
Simplex method algorithms ants duality game theory interior-point methods linear optimization linear programming/optimization optimization portfolio optimization quadratic programming
Stimmen zu »Linear Programming«
From the reviews of the third edition:
"Robert Vanderbei’s textbook on linear programming, now in its third edition, builds on many of the approaches used by Chvátal and includes up-to-date coverage of a number of topics, including interior point methods, that have become important in the 25 years since the publication of Chvátal’s book. Vanderbei’s book is divided into four parts. … suitable for use in a first course in linear programming covering the simplex method at the advanced undergraduate or graduate level." (Brian Borchers, MathDL, May, 2008)
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