Course Information
Lecture: Mon and Wed 10:00 AM – 11:20 PM via Zoom
Tutorial: Tue 5:00 PM – 6:00 PM via Zoom
Instructor:
Prof. Ulugbek Kamilov
Email: kamilov@wustl.edu
Office hours: Mon, 01:30 PM – 02:30 PM (by email appointment)
Assistant instructor:
Mr. Weijie Gan
Email: weijie.gan@wustl.edu
Office hours: Tue, 04:00 PM – 05:00 PM
Assistant instructor:
Mr. Abdalla Bani
Email: a.bani@wustl.edu
Office hours: Fri, 01:00 PM – 02:00 PM
Assistant instructor:
Mr. Jiaming Liu
Email: jiaming.liu@wustl.edu
Office hours: Fri, 05:00 PM – 06:00 PM (4/23)
Assistant instructor:
Ms. Xiaojian Xu
Email: xiaojianxu@wustl.edu
Office hours: Thu, 09:00 AM – 10:00 AM (4/29)
Syllabus: download (PDF).
Announcements
- Assignment #6 is out and due on Mon, 05/03.
- Two bonus lectures on conjugate gradient method (CGM) in “Additional Reading”.
- We will use Piazza for questions and discussions.
- All the assignments will be collected only via Gradescope
Lecture Notes
- Week 01 – Mon, 01/25 – Introduction (video)
- Week 01 – Wed, 01/27 – Functions of one variable (slides, video)
- Week 02 – Mon, 02/01 – Existence and first-order optimality (slides, video)
- Week 02 – Wed, 02/03 – Second-order optimality (slides, video)
- Week 03 – Mon, 02/08 – Gradient method (slides, video)
- Week 03 – Wed, 02/10 – Convergence and step-size (slides, video)
- Week 04 – Mon, 02/15 – Convex sets and functions (slides, video)
- Week 04 – Wed, 02/17 – Convex sets and functions (cont) (slides, video)
- Week 05 – Mon, 02/22 – Convexity and the gradient method (slides, video)
- Week 05 – Wed, 02/24 – Accelerating the gradient method (slides, video)
- Week 06 – Mon, 03/01 – Newton method (slides, video)
- Week 06 – Wed, 03/03 – No class (Wellness day)
- Week 07 – Mon, 03/08 – Least-squares optimization (slides, video)
- Week 07 – Wed, 03/10 – Newton method (cont) (slides, video)
- Week 08 – Mon, 03/15 – No class (Midterm, due Tue, 03/16, 11:30 AM)
- Week 08 – Wed, 03/17 – Projections and underdetermined systems (slides, video)
- Week 09 – Mon, 03/22 – Proximal gradient method (slides, video)
- Week 09 – Wed, 03/24 – Proximal gradient method (cont) (slides, video)
- Week 10 – Mon, 03/29 – Guest lecture by Dr. Mauricio Delbracio (slides, video)
- Week 10 – Wed, 03/31 – Convex and linear programming (slides, video)
- Week 11 – Mon, 04/05 – Sensitivity vectors (slides, video)
- Week 11 – Wed, 04/07 – KKT conditions (slides, video)
- Week 12 – Mon, 04/12 – No class (Wellness day)
- Week 12 – Wed, 04/14 – KKT conditions and duality (slides, video)
- Week 13 – Mon, 04/19 – Penalty methods (slides, video)
- Week 13 – Wed, 04/21 – Optimization with equality constraints (slides, video)
- Week 14 – Mon, 04/26 – Guest lecture by Dr. Hassan Mansour (slides, video)
- Week 14 – Wed, 04/28 – Alternating direction method of multipliers (slides, video)
- Week 15 – Mon, 05/03 – No class (Final, due Tue, 05/04, 11:30 AM)
Assignments
- Assignment #0 (due on Mon, 02/08) – Solution #0
- Assignment #1 (due on Mon, 02/22) (code) – Solution #1
- Assignment #2 (due on Mon, 03/08) (code) – Solution #2
- Assignment #3 (due on Tue, 03/23) (code) – Solution #3
- Midterm Exam (due on Tue, 03/16) – Midterm Solution
- Assignment #4 (due on Mon, 04/05) (code) – Solution #4
- Assignment #5 (due on Mon, 04/19) (code) – Solution #5
- Assignment #6 (due on Mon, 05/03) (code) – Solution #6
- Final Exam (due on Tue, 05/04) – Final Solution
Tutorial Notes
- Week 03 – Tue, 02/09 – Tutorial #1 (video)
- Week 04 – Tue, 02/16 – Tutorial #2 (video)
- Week 05 – Tue, 02/23 – Tutorial #3 (video)
- Week 06 – Tue, 03/02 – No tutorial (Wellness day)
- Week 07 – Tue, 03/09 – Tutorial #4 (video, annotated slides)
- Week 08 – Tue, 03/16 – Tutorial #5 (video)
- Week 09 – Tue, 03/23 – Tutorial #6 (video) (supplement)
- Week 10 – Tue, 03/30 – Tutorial #7 (video)
- Week 11 – Tue, 04/07 – Tutorial #8 (video)
- Week 12 – Tue, 04/13 – Tutorial #9 (video)
- Week 13 – Tue, 04/20 – Tutorial #10 (video)
- Week 14 – Tue, 04/28 – Tutorial #11 (video)
Extra Practice
- Assignment #1 (2020) – Solution #1 (2020)
- Assignment #2 (2019) – Solution #2 (2019)
- Assignment #3 (2018) – Solution #3 (2018)
- Midterm Exam (2020) – Midterm Solution (2020)
- Assignment #4 (2019) – Solution #4 (2019)
- Assignment #5 (2020) – Solution #5 (2020)
- Assignment #6 (2019) – Solution #6 (2019)
- Final Exam (2020) – Final Solution (2020)