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Jan Brinkhuis and Vladimir Tikhomirov, Editors, Optimization: Insights and

Applications

Article  in  Operations Research Letters · May 2007

DOI: 10.1016/j.orl.2006.05.002

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Prof. Dr. Diethard Klatte
Institut für Operations Research, Universität Zürich
Moussonstrasse 15, CH – 8044 Zürich
Zurich, 20 April 2006

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Operations Research Letters: Book Review
Jan Brinkhuis and Vladimir Tikhomirov
Optimization: Insights and Applications
Princeton Series in Applied Mathematics, Princeton University Press, 2005.

This is an excellent textbook on mathematical optimization with continuous

variables, but it differs in style and contents from other excellent books in this
field by a novel and original approach to present the material. The authors
and the editors did not hesitate to present a voluminous work on the subject
under consideration, this offers the possibility to go into many details which
are often missed, for space reasons, in other textbooks.
The book is of value for a wide circle of readers, from beginners to experts
and teachers in the field, from mathematicians and students of mathematics
to all who wish to apply optimization methods, e.g., in engineering, sciences
and economics. Several strong points make it suitable as a textbook for
various types of courses ranging from introductory to advanced ones: (i) the
emphasis on deep insights by many, many well-selected examples, pictures
and facts on the historical background, (ii) a clear structure of presenting
theory, methods and applications, (iii) the nice didactic trick to discuss the
same concepts and results from different viewpoints (e.g., geometrical versus
analytical view) and on different levels of generality, and last, but not least
(iv) the refreshing style of writing.
As a main idea for introducing and discussing the theory of optimiza-
tion, the authors handle most of the problems by the direct application of
the fundamental theorems of Fermat, Lagrange, and Weierstrass. The au-
thors’ ambition is to point out the essence of all theoretical approaches and
to demonstrate the corresponding concepts and results by means of simple
geometric figures. Then it is (almost) a routine job to write down the rig-
orous analytical proofs. Even for the specialist in the field, the outcomes
produced in this way are sometimes surprising. Based on the thorough the-
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published in Operations Research Letters 35 (2007) pp. 419-420.

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oretical part, several chapters are concerned with solution methods (with a
focus to solving convex problems), economic and mathematical applications
as well as dynamic programming.
An introductory course on optimization could be based on Chapters 1–
4, 6 and 10, which are devoted to necessary optimality conditions of Fer-
mat type (unconstrained optimization), Lagrange type (equality constraints)
and Karush-Kuhn-Tucker type (inequality constraints), to basic algorithmic
ideas (e.g., line search, descent directions, center of gravity, ellipsoid and
interior point methods) and to dynamic programming in discrete time. Sev-
eral refreshment and crash courses in appendices and a introductory chapter
”Necessary conditions: what is the point?” are helpful for beginners and
practitioners.
Advanced courses on optimization for those who want full insights into all
aspects of the subjects will benefit from the Chapters 5, 7, 10 and 12. These
are devoted to second-order optimality conditions, to conjugate gradient and
self-concordant barrier methods, to necessary conditions for partly smooth
and partly convex problems, and to dynamic optimization in continuous time.
Moreover, Appendix G is thought for experts and advanced readers and
contains a straightforward proof of Pontryagin’s maximum principle.
Applications of optimization methods are an essential part of the book.
Headlines in Chapter 8 (on economic applications) like ”Why you should not
sell your house to the highest bidder?”, ”Nash bargaining”, ”Fair price for
options: formula of Black and Scholes”, and ”The best lunch and the second
welfare theorem” say much about the authors’ intentions and style in this
respect. As an enthusiastic reader of former books of Vladimir Tikhomirov,
the reviewer expected a collection of interesting mathematical optimization
problems and their history, and indeed, this was found in Chapter 9, but
also throughout the whole book in many concrete problems and nice, highly
varied exercises.
All at all, the book may be warmly recommended to a broad audience,
and the reviewer is convinced that many readers will enjoy its theoretical
substance, motivating contents and style of writing.