CSE 203B, Winter 2019Convex OptimizationUniversity of California, San Diego

Instructor

- CK Cheng, room CSE2130, email: ckcheng+203B@ucsd.edu, tel: 858 534-6184
- Office hours : 330-430PM, Tuesday
Teaching Assistant

- Ariel Wang, xiw193@ucsd.edu
- Office hours: TBA
Discussion Forum

- http://piazza.com/ucsd/winter2019/cse203b
Schedule

- Lectures: 2:00-3:20PM TTH, Room CSE4140
- Discussion: 5:00-6:00PM W, Room CSE4140
- Midterm Exam: TH 2/14/2019 in class (shifted from 2/12/2019)
References

- 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 2016, Convex Optimization by R. Tibshirani, http://www.stat.cmu.edu/~ryantibs/convexopt/
- EE364a: Convex Optimization I, S. Boyd, http://stanford.edu/class/ee364a/
PrerequisiteBasic knowledge of numerical methods or intention of conducting projects related to scientific computation.

Assignment and GradingGrading is based on class participation, 4 to 6 exercises, a midterm and a project with final presentation.

ContentWe 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

- Conjugate Gradient Tutorial by CK Cheng.
- Nesterov Method: Differential Equation by Su, Boyd and Candes.
LecturesDiscussion

- Week 1: Review of linear algebra pdf, pptx,
- Week 2: Homework 1 review pdf, pptx.
- Week 3: Review of convex function pdf, pptx
- Week 4: Review of convex function 2 pdf, pptx
- Week 5: Review of convex optimization problems pdf, pptx
- Week 6: Review of dual formulation pdf, pptx
- Week 7: Review of unconstrained optimization pdf, pptx
HomeworkExam

- Midterm review pdf file
- Previous Midterm Rubrics, pdf file
Project

- Outlines (title, motivation, statement of the problem, wish list, task assignment of each member, references) due 2/14/2019.
- Outline Sample docx
- Final Presentation Sample pdf
- Final Report Sample pdf
- Two award winning teams of the Best Presentation Winter 2019 Award.jpg.
- Project Report (no more than 4 pages) due 6PM, Th 3/21.