ENGG 5501: Foundations of Optimization
2016-17 First Term
- NEW: The final examination will be held on December 12, 2016, from 7:15pm to 9:15pm, in YIA LT3. You can bring the course handouts, homeworks, homework solutions, and the notes you took during lectures to the exam. No other material will be allowed. If you have questions about the rules of the exam, please clarify with the teaching staff as soon as possible.
- NEW: Here is the practice final.
- To better facilitate discussions and Q&As, we have set up an online platform. Please follow this link to sign up.
- PLEASE READ: Student/Faculty Expectations on Teaching and Learning, from the Faculty of Engineering, The Chinese University of Hong Kong.
- Instructor: Anthony Man-Cho So (manchoso at se.cuhk.edu.hk)
- Office Hours: Tuesdays 3:30pm - 5:00pm or by appointment, in ERB 604
- Lecture Time/Location:
- Mondays 4:30pm - 6:15pm, in LSK LT3
- Wednesdays 3:30pm - 5:15pm, in LSK LT1
- Teaching Assistants:
- Huikang Liu (hkliu at se.cuhk.edu.hk)
- Office Hours: Mondays 9:30am - 11:30am, in ERB 905
- Xueying Ni (xyni at se.cuhk.edu.hk)
- Office Hours: Tuesdays 9:30am - 11:30am, in ERB 905
- Man-Chung Yue (mcyue at se.cuhk.edu.hk)
- Office Hours: Thursdays 9:30am - 11:30am, in ERB 905
- Qi Zhang (qzhang at se.cuhk.edu.hk)
- Office Hours: Wednesdays 9:30am - 11:30am, in ERB 905
- Online Q&A Forum: Follow this link.
In this course we will develop the basic machinery for formulating and analyzing various optimization problems. Topics include convex analysis, linear and conic linear programming, nonlinear programming, optimality conditions, Lagrangian duality theory, and basics of optimization algorithms. Applications from different fields, such as combinatorial optimization, communications, computational economics and finance, machine learning, and signal and image processing, will be used to complement the theoretical developments. No prior optimization background is required for this class. However, students should have workable knowledge in multivariable calculus, real analysis, linear algebra and matrix theory.
Homework sets (60%) and an in-class final examination (40%).
- Ben-Tal, Nemirovski: Optimization I-II: Convex Analysis, Nonlinear Programming Theory, Nonlinear Programming Algorithms, 2004.
- Boyd, Vandenberghe: Convex Optimization, Cambridge University Press, 2004.
- Cottle: Lecture Notes on Optimization, 2004.
- Güler: Foundations of Optimization, Springer, 2010.
- Luenberger, Ye: Linear and Nonlinear Programming (3rd Edition), Springer, 2008.
- Nemirovski: Lectures on Modern Convex Optimization, 2005.
Homework Sets (Assignment Box: A16, 5th floor of ERB)
Last Updated: December 10, 2016