This is the course website for Mathematical and Numerical Optimization (최적화의 수학적 이론 및 계산), 3341.454, Fall 2020.

Weekly homework assignments should be submitted through eTL.

- Homework 1, Due 09/11, 5pm.

2.12, 2.16, 2.22, 2.28, 2.31, 2.35, 3.12, 3.14 of Boyd & Vandenberghe. - Homework 2, Due 09/21, 5pm.

3.15, 3.18, 3.22, 3.24, 3.25, 3.36, 4.1, 4.11 of Boyd & Vandenberghe and an additional problem. - Homework 3, Due 09/25, 5pm.

4.4, 4.24, 4.42, 4.43, 5.3 of Boyd & Vandenberghe and additional problems, veh_speed_sched_data.py. - Homework 4, Due 10/9, 5pm.

Problems to be determined.

- [Week 1] Introduction and convex sets (Reading: 1-2 BV)
- [Week 2] Convex functions (Reading: 3.1, 3.2, 3.3, 3.5 BV)
- [Week 3] Convex optimization problems (Reading: 4.1-4.4, 4.6 BV)
- [Week 4] Convex duality
- [Week 5-6] Monotone operators
- [Week 7-8] Primal-dual methods
- [Week 9] Stochastic coordinate update methods
- [Week 10] Asynchronous coordinate update methods
- [Week 11] ADMM-type methods
- [Week 12] Maximality, duality
- [Week 13] Acceleration, stochastic optimization
- [Week 14] Scaled relative graphs
- [Week 15] Distributed and decentralized optimization

Ernest K. Ryu, 27-314, .

Tuesdays and Thursdays 2:00–3:15 pm over Zoom. Live (online) attendance is required. Meeting link and the password are available on eTL.

The midterm and final exams will be in-person, written exams.

- Midterm exam: 10/22, 2:00–6:00pm, take home exam.
- Final exam: Date TBD, Location TBD.

Attendance 10%, homework 20%, midterm exam 30%, final exam 40%.

Good knowledge of advanced calculus, linear algebra, basic probability, and basic programming at the level of variables, loops, and functions is required. Background in (mathematical) analysis and measure-theoretic probability theory is helpful but not necessary.

We will use Convex Optimization by Boyd and Vandenberghe and the draft of Large-Scale Convex Optimization via Monotone Operators by Ryu and Yin. You will have access to free (legal) electronic copies of the books, so there is no need to purchase them.