Optimization by Vector Space Methods (Series in Decision and Control)

The format of Luenberger's book is also extremely appealing in a way that I cannot quite put my finger on. The typography and illustrations are inherently crisp and inviting; they draw you in. There is nothing at all superfluous or gratuitous in this book. It is utterly to-the-point, methodical, and above all, clear. The techniques are developed starting from an elementary treatment of vector spaces, then proceeding on to Banach spaces and Hilbert spaces. Along the way, Luenberger introduces convexity, cones, basic topology, random variables, minimum-variance estimators, and least squares, among many other things. There is a recurring theme of duality, which can be used in a way analogous to the inner product of a Hilbert space. In particular, the familiar projection theorems of Hilbert spaces can be echoed in simpler normed linear spaces using duality, which Luenberger motivates and covers beautifully.

The book also covers some of the standard fare of functional analysis, such as the Han-Banach theorem, strong and weak convergence, and the Banach inverse theorem. However, Luenberger never wanders too far off into abstract nonsense; around every corner lay tantalizing application of these ideas to optimization. Luenberger first explores optimization of functionals then covers constrained optimization, which builds upon concepts such as positive cones and Lagrange multipliers. The optimization methods themselves have endless applications in fields such as computer vision, computer graphics, economics, and physics. Indeed, the list is effectively endless as optimization techniques pervade math and science.

I'm certain that the appeal of this book is helped immeasurably by the inherent beauty of the subject matter. Hilbert-space methods are lovely in themselves--they possess a structure that engages one's geometric intuition while at the same time admitting convenient algebraic properties. Once you are in the habit of phrasing problems in abstract settings such as Hilbert spaces, it forever changes how you look at things; you cannot help but look past the clutter to the essence of a problem (or, at least try very hard to do so). While this material is not nearly as abstract as, say, category theory, it nevertheless hits a high point in mathematics--a point more people ought to experience.

If you've had some exposure to optimization methods, or need to apply them in the context of computer vision, graphics, or finance, to mention just a few areas, then I urge you to take a look at Luenberger's fine book. It too hits a high point in clarity of mathematical writing. Combine beautiful theory with endless applications and lucid writing, and you have a winner of a book.


Top Secret: a pedagogic powerhouse for the confused   April 6, 1999
39 out of 40 found this review helpful

A few years ago, when I was a student first coming into contact with Hilbert spaces, linear operators, etc., I was absolutely confused by conventional textbooks. Hopelessly lost, an old friend from Cornell let me in on a little secret: Luenberger. Apparently, every student at his department was "secretly" reading this book on the side in order to get that elusive commodity -- "clear understanding" -- at which Luenberger is an absolute master.

I took my friend up on his suggestion, and it was a revelation. I was amazed. I was also furious at the fact that my professor had not assigned this book to us. After confronting him with it, he admitted that not only was he very familiar with it, it had also been instrumental for him when HE was a student. It seems Luenberger has been a "secret" text that students have been using for a generation or so.

Recently, when speaking with a confused and discouraged student, I let him in on it: "Luenberger. Forget everything else for now, and just work through Luenberger". A few days later, he came back and furiously confronted me as to why I did not recommend this to him beforehand...etc.

..and the legacy continues.

Dr Luenberger, thank you very, very much!


Elegant and astonishing   March 17, 2006
Mark A. Peot (Chapel Hill, NC USA)
3 out of 3 found this review helpful

Professor Luenberger unites many areas of optimization using a few principles from functional analysis. The explanations are clear and the proofs are compact and elegant. This book is your tool for understanding the deep connection between linear programming, convex optimization, game theory, optimal control and series approximation (e.g. Fourier series).

Luenberger's book has over 1300 citations as of March 2006. In my opinion, the material in this book is essential for any graduate student or professional who intends to contribute to the literature in optimization or optimal control.



An alternative introduction to functional analysis   December 30, 2001
6 out of 6 found this review helpful

When I decided to change my career path from B-school to mathematics, I know that only with taking calculus and linear algebra courses is definitely not enough for me to get into a decent math graduate program. I spent an afternoon in a local bookstore to find a book for functional analysis and Hilbert space which is comprehensible for me at that time. I found Luenberger. I was obsessed with its clarity and simplicity without sacrificing too much rigor. Especially for those finance student who want to learn some advanced math for quant finance but may not have enough background to deal with, Luenberger's book is a really good starting point!


This is a true classic   December 18, 2004
Mark A. Mendlovitz (Beverly Hills, CA)
4 out of 4 found this review helpful

This book is a timeless classic, filled with extraordinarily powerful mathematics and applicable to just about every serious subject area. Luenberger did a masterful job of writing a book that will "unravel the spaghetti" seen in most other books. The visual perspectives he provides to seemingly abstract ideas are the key.