ENGG 5501: Foundations of Optimization
2023-24 First Term
- NEW: Homework 5 is now posted. It is due on December 13, 2023. No late homework will be accepted, as the solution will be posted soon after the due date to facilitate students' review for the final examination.
- Handout 7 is posted.
- Here is the midterm solution.
- Welcome to ENGG 5501! Students who are interested in taking the course but have not yet registered (or are not able to register) should contact the course instructor.
- To better facilitate discussions and Q&As, we have set up a forum on Piazza. Please follow this link to sign up.
- The lecture videos can be accessed via the link provided on Piazza.
- 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.
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 (35%), midterm examination (30%), and final examination (35%).
- 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 New York, 2010.
- Luenberger, Ye: Linear and Nonlinear Programming (5th Edition), Springer Cham, 2021.
- Nesterov: Lectures on Convex Optimization (2nd Edition), Springer Cham, 2018.
Homework Sets (Assignment Box: B21, ERB 5/F)
Last Updated: December 4, 2023