CSE 203B, Winter 2019 Convex Optimization

University 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/

Prerequisite

Basic knowledge of numerical methods or intention of conducting projects related to scientific computation.

Assignment and Grading

Grading is based on class participation, 4 to 6 exercises, a midterm 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

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

Lectures

• Lecture 1 Introduction pptx , pdf .
, .

Discussion

• 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

Homework

• Homework 1 pdf, tex, Rubrics.
• Homework 2 pdf, tex, Rubrics.
• Homework 3 pdf, tex.

Exam

• 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.