ENGG 5501: Foundations of Optimization

2023-24 First Term


General Information

  • Instructor: Anthony Man-Cho So (manchoso at se.cuhk.edu.hk)
  • Office Hours: By appointment, in ERB 604 or online
  • Lecture Time/Location:
    • Mondays 12:30pm - 2:15pm, in UCC C1
    • Thursdays 2:30pm - 4:15pm, in MMW LT1
  • Teaching Assistants:
    • He Chen (hchen at se.cuhk.edu.hk)
    • Lemin Kong (lkong at se.cuhk.edu.hk)
    • Lai Tian (tianlai at se.cuhk.edu.hk)
    • Linglingzhi Zhu (llzzhu at se.cuhk.edu.hk)
  • Office Hours: Thursdays 4:30pm - 6:00pm, in ERB 905 or online
  • 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 (35%), midterm examination (30%), and final examination (35%).

General References


Lecture Notes

Homework Sets (Assignment Box: B21, ERB 5/F)

Last Updated: December 4, 2023