**Given:**a function*f*:*A*`->`**R**from some set*A*to the real numbers**Sought:**an element*x*_{0}in*A*such that*f*(*x*_{0}) ≥*f*(*x*) for all*x*in*A*("maximization") or such that*f*(*x*_{0}) ≤*f*(*x*) for all*x*in*A*("minimization").

Typically, *A* is some subset of Euclidean space **R**^{n}, often specified by a set of *constraints*, equalities or inequalities that the members of *A* have to satisfy.
The elements of *A* are called the *feasible solutions* and the function *f* is called the *objective function*. A feasible solution that maximizes (or minimizes, if that is the goal) the objective function is called an *optimal solution*.

In general there will be several local maxima and minima, where a local minimum x^{*} is defined as as a point such that for some δ > 0 and all x such that ||x - x^{*} || ≤ δ the formula f(x) ≥ f(x^{*}) holds; that is to say on some ball around x^{*} all of the function values are greater than the value at that point. Local maxima are defined similarly. In general, it is easy to find local minima, however additional facts about the problem (e.g. the function being convex) are required to ensure that the solution found is a global minimum.

Table of contents |

2 Techniques 3 Uses 4 History |

Optimization problems are often expressed with special notation. Here are some examples:

This asks for the minimum value for the expression

- max
_{x in R}2x

- arg min
_{x in ]-∞,-1]}*x*^{2}+1

- arg max
_{x in ]-∞,5], y in R}*x*· cos(*y*)

- linear programming studies the case in which the objective function f is linear and the set A is specified using only linear equalities and inequalities
- integer programming studies linear programs in which some or all variables are constrained to take on integer values
- quadratic programming allows the objective function to have quadratic terms, while the set A must be specified with linear equalities and inequalities
- nonlinear programming studies the general case in which the objective or constraints or both contain nonlinear parts
- stochastic programming studies the case in which some of the constraints depend on random variables
- dynamic programming studies the case which has optimal substructure and overlapping subproblems.

Should a function be convex over a region of interest (as defined by constraints) then any local minimum will also be a global minimum. Robust, fast numerical techniques exist for optimizing doubly differentiable convex functions. Outside of these functions, less ideal techniques must be used.

Constrained problems can often be transformed into unconstrained problems with the help of the Lagrange multiplier.

Several techniques exist for find a good local minimum in nonlinear optimization problems with many poor local minima:

Additionally, problems in rigid body dynamics (in particular articulated rigid body dynamics) often require mathematical programming techniques, since you can view rigid body dynamics as attempting to solve an ordinary differential equation on a constraint manifold; the constraints are various nonlinear geometric constraints such as "these two points must always coincide", "this surface must not penetrate any other", or "this point must always lie somewhere on this curve". Also, the problem of computing contact forces can be done by solving a linear complementarity problem, which can also be viewed as a QP (quadratic programming problem).

(Are there other fields with strong connections? Economics)

Historically, the first term to be introduced was linear programming, which was invented by George Dantzig in the 1940s. The term *programming* in this context does not refer to computer programming (although computers are nowadays used extensively to solve mathematical programs). Instead, the term comes from the use of *program* by the United States military to refer to proposed training and logistics schedules, which were the problems that Dantzig was studying at the time. (Additionally, later on, the use of the term "programming" was apparently important for receiving government funding, as is was associated with high-technology research areas that were considered important.)

*In fact, some mathematical programming work had been done previously...(anyone? - Gauss did some stuff here)*

**See also:**

- game theory
- compilers for programming languages
- operations research
- fuzzy logic
- random optimization
- genetic algorithm
- variational inequality
- mixed complementarity