CSE 291, Winter 2017
University of California, San Diego
- CK Cheng, email@example.com, 858 534-6184
- Lectures: 12:30-1:50PM TTH, Room CSE2154
- Convex Optimization, S. Boyd and L. Vandenberghe, Cambridge, 2004 (required textbook).
- Numerical Recipes: The Art of Scientific Computing, Third Edition, W.H. Press, S.A. Teukolsky, W.T. Vetterling, and B.P. Flannery, Cambridge University Press, 2007.
- Funcions of Matrices: Theory and Computation, N.J. Higham, SIAM, 2008.
- Fall 2015, Convex Optimization by R. Tibshirani, http://www.stat.cmu.edu/~ryantibs/convexopt/
- EE364a: Convex Optimization I, S. Boyd, http://stanford.edu/class/ee364a/
Basic knowledge of numerical methods or intention of conducting projects related to scientific computation.Assignment and Grading
Grading is based on class participation, 6 to 8 exercises and a project with final presentation.Content
We study the formulations and algorithms solving convex optimization problems. The topics include convex sets, functions, optimality conditions, duality concepts, gradient descent, conjugate gradient, interior-point methods, and applications. The objective of the course is to provide students the background and techniques for scientific computing and system optimization.Extra Materials
Exercises from Convex Optimization by Boyd and Vandenberghe, additional exercises (Ax.x) and data files: http://stanford.edu/~boyd/cvxbook/
- Conjugate Gradient Tutorial by CK Cheng.
- Nesterov Method: Differential Equation by Su, Boyd and Candes.
- Nesterov Method: Gradient and Mirror Descent by Zhu and Orecchia.
- Exercise 1: Due 1/24/2017: 2.8, 2.10, 2.12, 2.24a, 2.25, 2.31, A1.5 and possible assignment in the class. (A1.5 in http://stanford.edu/~boyd/cvxbook/bv_cvxbook_extra_exercises.pdf)
- Exercise 2: Due 2/9/2017: 3.1, 3.2, 3.13, 3.14, 3.40, and A2.9, A2.18. Note that for A2.18, try f*((A+) y) instead of f*((A+)T y).
- Exercise 3: Due 2/16/2017: 4.1, 4.11, 4.12, 4.28, and A3.2, A3.4.
- Exercise 4: Due 2/23/2017: 5.1, 5.18, 5.21, 5.31 and A4.1, A4.10.
- Exercise 5: Due 3/2/2017: 9.1, 9.7, 9.9, and 9.30+A8.3, 9.31+A8.4.
- Exercise 6: Due 3/9/2017: 10.1, 10.15, 11.7, and 11.12.
- Outlines (title, motivation, statement of the problem, wish list, references) due 2/16/2017.