Course Information
Lecture: Mon and Wed 11:30 AM – 12:50 PM via Zoom
Tutorial: Fri 03:00 PM – 04:00 PM via Zoom
Instructor:
Prof. Ulugbek Kamilov
Email: kamilov@wustl.edu
Office hours: Mon, 01:00 PM – 02:00 PM (by email appointment)
Assistant instructor:
Mr. Jiaming Liu
Email: jiaming.liu@wustl.edu
Office hours: Tue, 03:00 PM – 04:00 PM
Assistant instructor:
Mr. Yuhao Chen
Email: chen.yuhao@wustl.edu
Office hours: Wed, 05:00 PM – 06:00 PM
Assistant instructor:
Mr. Yu Sun
Email: sun.yu@wustl.edu
Office hours: Thu, 04:30 PM – 05:30 PM
Syllabus: download (PDF).
Announcements
- Take home final exam has been posted and is due on Tue, 05/05, at 11:30 AM.
- Bonus lectures on the conjugate gradient method have been posted.
- Assignment #6 is out and due on Mon, 05/04 (no late submissions possible!)
- List of accepted typos for extra credit is here (updated on 05/03, 8:00 PM).
- All the assignments will be collected via Gradescope (code: 9YJ5P6)
Lecture Notes
- Week 01 – Mon, 01/13 – Introduction
- Week 01 – Wed, 01/15 – Functions of one variable
- Week 02 – Mon, 01/20 – No lecture (MLK Day)
- Week 02 – Wed, 01/22 – Existence and first-order optimality
- Week 03 – Mon, 01/27 – Second-order optimality
- Week 03 – Wed, 01/29 – Gradient method
- Week 04 – Mon, 02/03 – Convergence and step-size
- Week 04 – Wed, 02/05 – No lecture
- Week 05 – Mon, 02/10 – Convex sets and functions
- Week 05 – Wed, 02/12 – Convex sets and functions (cont)
- Week 06 – Mon, 02/17 – Convexity and the gradient method
- Week 06 – Wed, 02/19 – Accelerating the gradient method
- Week 07 – Mon, 02/24 – Newton method
- Week 07 – Wed, 02/26 – Least squares
- Week 08 – Mon, 03/02 – Newton method (cont)
- Week 08 – Wed, 03/04 – Midterm exam
- Week 09 – Mon, 03/09 – No lecture (Spring break)
- Week 09 – Wed, 03/11 – No lecture (Spring break)
- Week 10 – Mon, 03/16 – No lecture (Extended spring break)
- Week 10 – Wed, 03/18 – No lecture (Extended spring break)
- Week 11 – Mon, 03/23 – Projections and linear systems (video, slides)
- Week 11 – Wed, 03/25 – Proximal gradient methods (video, slides)
- Week 12 – Mon, 03/30 – Proximal gradient methods (cont) (video, slides)
- Week 12 – Wed, 04/01 – Convex and linear programming (video, slides)
- Week 13 – Mon, 04/06 – Sensitivity vectors (video, slides)
- Week 13 – Wed, 04/08 – KKT conditions (video, slides)
- Week 14 – Mon, 04/13 – KKT conditions and duality (video, slides)
- Week 14 – Wed, 04/15 – Penalty methods (video, slides)
- Week 15 – Mon, 04/20 – Optimization under mixed constraints (video, slides)
- Week 15 – Wed, 04/22 – Alternating direction method of multipliers (ADMM) (video, slides)
- Week 16 – Mon, 04/27 – No lecture (Reading week)
- Week 16 – Wed, 04/29 – No lecture (Reading week)
- Week 17 – Mon, 05/04 – Final exam (due: 05/05, 11:30 AM)
Assignments
- Assignment #0 (due on Wed, 01/22)—Solution #0
- Assignment #1 (due on Wed, 02/05)(code)—Solution #1
- Assignment #2 (due on Wed, 02/19)(code)—Solution #2
- Assignment #3 (due on Mon, 03/09)(code)—Solution #3
- Midterm Exam (done on Wed, 03/04)—Midterm Solution
- Assignment #4 (due on Mon, 04/06)(code)—Solution #4
- Assignment #5 (due on Mon, 04/20)(code)—Solution #5
- Assignment #6 (due on Mon, 05/04)(code)—Solution #6
- Final Exam (due on Tue, 05/05)—Final Solution
Tutorial Notes
- Week 03 – Fri, 01/31 – Tutorial #01 (code)
- Week 04 – Fri, 02/07 – Tutorial #02
- Week 05 – Fri, 02/14 – Tutorial #03
- Week 06 – Fri, 02/21 – Tutorial #04
- Week 07 – Fri, 02/28 – Tutorial #05
- Week 11 – Fri, 03/27 – Tutorial #07
- Week 12 – Fri, 04/03 – Tutorial #08 (video)
- Week 13 – Fri, 04/10 – Tutorial #09 (video)
- Week 14 – Fri, 04/17 – Tutorial #10 (video)
- Week 15 – Fri, 04/24 – Tutorial #11 (video)
Extra Practice
- Solution #1 (2019)
- Solution #2 (2019)
- Solution #3 (2019)
- Midterm Solution (2019)
- Solution #4 (2019)
- Solution #5 (2019)
- Solution #6 (2019)
- Final Solution (2019)