ESE 415: Optimization
Course Information
Lecture: Tue and Thu 01:00-02:30 PM at Seigle 304
Tutorial: Fri 03:00-04:00 PM at Seigle 304
Instructor: Prof. Ulugbek Kamilov
Room: Jolley 532
Email: kamilov@wustl.edu
Office hours: Fri 01:30-02:30 PM (by email appointment)
Assistant instructor: Ms. Xiaojian Xu
Room: Jolley 539
Email: xiaojianxu@wustl.edu
Office hours: Wed 4:00-5:00 PM
Assistant instructor: Mr. Yu Sun
Room: Jolley 539
Email: sun.yu@wustl.edu
Office hours: Tue 10:00-11:00 AM
Syllabus: download (PDF).
Announcements
- The final exam will take place 1-3 PM on Tue, 7 May, at Seigle 304.
Lecture Notes
- Week 01 – 15 Jan 2019 – Tue – Course introduction
- Week 01 – 17 Jan 2019 – Thu – Functions of one variable
- Week 02 – 22 Jan 2019 – Tue – Existence and first-order optimality
- Week 02 – 24 Jan 2019 – Thu – Second-order optimality
- Week 03 – 29 Jan 2019 – Tue – Gradient method
- Week 03 – 31 Jan 2019 – Thu – Convex sets and functions
- Week 04 – 05 Feb 2019 – Tue – Convergence and step-size (slides)
- Week 04 – 07 Feb 2019 – Thu – No lecture
- Week 05 – 12 Feb 2019 – Tue – Convex sets and functions (cont)
- Week 05 – 14 Feb 2019 – Thu – Convexity and the gradient method
- Week 06 – 19 Feb 2019 – Tue – Accelerating the gradient method
- Week 06 – 21 Feb 2019 – Thu – Least-squares optimization
- Week 07 – 26 Feb 2019 – Tue – Newton’s method
- Week 07 – 28 Feb 2019 – Thu – Newton’s method (cont)
- Week 08 – 05 Mar 2019 – Tue – Conjugate gradient method
- Week 08 – 07 Mar 2019 – Thu – Midterm
- Week 09 – 12 Mar 2019 – Tue – No lecture (Spring break)
- Week 09 – 14 Mar 2019 – Thu – No lecture (Spring break)
- Week 10 – 19 Mar 2019 – Tue – Conjugate gradient method (cont)
- Week 10 – 21 Mar 2019 – Thu – No lecture
- Week 11 – 26 Mar 2019 – Tue – Projections and linear systems
- Week 11 – 28 Mar 2019 – Thu – Proximal gradient methods
- Week 12 – 02 Apr 2019 – Tue – Proximal gradient methods (cont)
- Week 12 – 04 Apr 2019 – Thu – Convex and linear programming
- Week 13 – 09 Apr 2019 – Tue – Sensitivity vectors (slides)
- Week 13 – 11 Apr 2019 – Thu – KKT conditions
- Week 14 – 16 Apr 2019 – Tue – KKT conditions and duality
- Week 14 – 18 Apr 2019 – Thu – Penalty methods
- Week 15 – 23 Apr 2019 – Tue – Optimization under mixed constraints
- Week 15 – 25 Apr 2019 – Thu – ADMM
Assignments
- Assignment #0 (due on Thu, 17 Jan 2019)—Solution #0
- Assignment #1 (due on Thu, 31 Jan 2019) (code)—Solution #1
- Assignment #2 (due on Thu, 14 Feb 2019) (code)—Solution #2
- Assignment #3 (due on Thu, 28 Feb 2019) (code)—Solution #3
- Midterm Exam (done on Thu, 07 Mar 2019)—Midterm Solution
- Assignment #4 (due on Tue, 09 Apr 2019) (code)—Solution #4
- Assignment #5 (due on Tue, 23 Apr 2019) (code)—Solution #5
- Assignment #6 (due on Tue, 07 May 2019) (code)
- Final Exam (done on Tue, 07 May 2019)—Final Solution
Tutorial Notes
- Week 02 – 25 Jan 2019 – Fri – Slides – Notes – Code
- Week 04 – 08 Feb 2019 – Fri – Slides
- Week 05 – 15 Feb 2019 – Fri – Slides
- Week 06 – 22 Feb 2019 – Fri – Slides
- Week 07 – 01 Mar 2019 – Fri – Midterm 2018
- Week 08 – 08 Mar 2019 – Fri – No tutorial
- Week 09 – 15 Mar 2019 – Fri – No tutorial (Spring break)
- Week 10 – 22 Mar 2019 – Fri – Review of Midterm 2019
- Week 11 – 29 Mar 2019 – Fri – No tutorial
- Week 12 – 05 Apr 2019 – Fri – Slides
- Week 13 – 12 Apr 2019 – Fri – Slides
- Week 14 – 19 Apr 2019 – Fri – Slides
- Week 15 – 26 Apr 2019 – Fri – Slides