SEG 5520: Optimization I

2009-10 First Term

Announcements

Homework Set 5 is posted.
The RES informed us that there is no alternative classroom available, so unfortunately we will have to stick with ERB 401.
Don't forget to check for the most updated version of the handouts.

General Information

Instructor: Anthony Man-Cho So
Office Hours: Wednesdays 1:45pm - 3:30pm, in ERB 604
Lecture Time/Location: Thursdays 2:30pm - 5:15pm, in ERB 401

Course Description

In this course we will develop the basic machineries needed for formulating and analyzing various optimization problems. Applications from different fields, such as computational economics and finance, combinatorial optimization, 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 a workable knowledge in multivariable calculus, basic concepts of analysis, linear algebra and matrix theory.

Course Requirements

5-6 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.
Luenberger, Ye: Linear and Nonlinear Programming (3rd Edition), 2008.
Nemirovski: Lectures on Modern Convex Optimization, 2005.

Handouts

Handout A: Information Sheet
Handout B: Linear Algebra Cheat Sheet (Last Updated: September 15, 2009)
Handout C: Real Analysis Cheat Sheet (Last Updated: September 21, 2009)
Handout 1: Introduction
Handout 2: Elements of Convex Analysis
Handout 3: Elements of Linear Programming
Handout 4: Some Applications of Linear Programming
Handout 5: Elements of Conic Linear Programming
Handout 6: Some Applications of Conic Linear Programming
Handout 7: Optimality Conditions
Handout 8: Optimality Conditions and Lagrangian Duality
Handout 9: Algorithms for Unconstrained Optimization
Handout 10: Path Following Algorithms for Linear Programming

Homework Sets

Homework 1 (due September 30, 2009)
Homework 2 (due October 15, 2009)
Homework 3 (due October 29, 2009)
Homework 4 (due November 12, 2009)
Homework 5 (due November 26, 2009) (Typos in Problem 1 corrected.)

Last Updated: November 19, 2009

SEG 5520: Optimization I 2009-10 First Term

2009-10 First Term