General Information
- 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.
Course Description
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.
Course Requirements
Homework sets (60%) and an in-class final examination (40%).
General References
- 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.
Handouts
Homework Sets (Assignment Box: A16, 5th floor of ERB)
Last Updated: December 10, 2016