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For unconstrained numerical optimization I have been using the book "Numerical Methods for Unconstrained Optimization and Nonlinear Equations" by Dennis and Schnabel. I found it to be a great book (thanks J.M. for the suggestion) and fared very well with it. Now I'm wondering if there is such an easy (!) to understand book for constrained optimization. It should cover topics like:

  • Inner points methods
  • Penalty methods (exact and multiple)
  • SQP methods (including SQP-Trust-Regions)
  • Active sets strategies

And maybe nonsmooth optimization:

  • Moreau Yosida regularization
  • proximal point method
  • Tikhonov regularization
  • subgradient method

Especially important for me, is a good and easy coverage of the SQP algorithm.

Thank you for your time!

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    Looks to be a taller order... :) I'll check my bibliography and report back.2012-07-20
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    Any news on this J.M. ? :)2012-08-17
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    Turns out, it's harder to find "easy" refs for this subject. I'll post something when I find anything.2012-08-18
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    Vandenberghe's UCLA 236c notes are a good resource, especially for the nonsmooth optimization topics and for interior point methods: http://www.seas.ucla.edu/~vandenbe/ee236c.html2018-12-30

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