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This book contains a special course on foundations of theory of nonlinear waves observed in a number of natural phenomena. In it the reader can find the basic methods of mathematical description of these phenomena. It details the methods for solving of nonlinear equations of: simple waves, Burgers, Schrodinger, sine-Gordon, Korteweg de Vries etc. The different methods of construction of multi-soliton solutions of these equations are described. Some applications of nonlinear wave theory in hydro- and gas- dynamics, optics, electrodynamics are discussed. The book is addressed to university students, graduate students and professionals studying nonlinear phenomena.