General Information
- Instructor: Anthony Man-Cho So (manchoso at se.cuhk.edu.hk)
- Office Hours: Thursdays 3:30pm - 5:00pm or by appointment, in ERB 604
- Lecture Time/Location:
- Mondays 4:30pm - 6:15pm, in MMW LT2
- Wednesdays 3:30pm - 5:15pm, in LSB LT1
- Teaching Assistants:
- Shixiang Chen (sxchen at se.cuhk.edu.hk)
- Office Hours: Tuesdays 10:00am - 11:30am, in ERB 614
- Huikang Liu (hkliu at se.cuhk.edu.hk)
- Office Hours: Thursdays 10:00am - 11:30am, in ERB 905
- Xueying Ni (xyni at se.cuhk.edu.hk)
- Office Hours: Wednesdays 1:00pm - 2:30pm, in ERB 905
- Conghui Tan (chtan at se.cuhk.edu.hk)
- Office Hours: Mondays 10:00am - 11:30am, in ERB 614
- Qi Zhang (qzhang at se.cuhk.edu.hk)
- Office Hours: Fridays 11:00am - 12:30pm, 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: Lectures on Modern Convex Optimization: Analysis, Algorithms, and Engineering Applications, SIAM, 2001.
- Boyd, Vandenberghe: Convex Optimization, Cambridge University Press, 2004.
- Güler: Foundations of Optimization, Springer, 2010.
- Luenberger, Ye: Linear and Nonlinear Programming (4th Edition), Springer, 2016.
- Nesterov: Introductory Lectures on Convex Optimization: A Basic Course, Kluwer Academic Publishers, 2004.
Handouts
Homework Sets (Assignment Box: A17, 5th floor of ERB)
Last Updated: November 14, 2017