Course Information
CSE 534A/ESE 513 Large-Scale Optimization for Data Science
Lectures: Mon/Wed, 1:00pm-2:20pm, Simon Hall 023
Instructor:
Prof. Ulugbek Kamilov
Room: McKelvey 2033
Email: kamilov@wustl.edu
Office hour: Mon, 2:30-3:30pm (by email appointment)
Assistant instructor:
Mr. Yuyang Hu
Room: McKelvey 2010
Email: h.yuyang@wustl.edu
Office hour: Fri, 2:30-3:30pm
Assistant instructor:
Ms. Flora Sun
Room: McKelvey 2010
Email: zhixin.sun@wustl.edu
Office hour: Wed, 5:00-6:00pm
Assistant instructor:
Mr. Jiaming Liu
Email: jiaming.liu@wustl.edu
Syllabus: download (PDF).
Announcements
- Project presentation schedule has been posted
- Assignment #2 has been posted
- We will use Piazza for discussions. Signup here
- Gradescope will be used to collect all assignments
Lecture Notes
- Week 01 – Mon, 08/29 – Introduction
- Week 01 – Wed, 08/31 – No class
- Week 02 – Mon, 09/05 – Gradient Method (slides, video)
- Week 02 – Wed, 09/07 – Gradient Method (cont) (slides, video)
- Week 03 – Mon, 09/12 – Conditional and projected gradient methods (slides, video)
- Week 03 – Wed, 09/14 – Subgradient and subdifferential (slides, video)
- Week 04 – Mon, 09/19 – Subgradient method (slides, video)
- Week 04 – Wed, 09/21 – Projected subgradient method (slides, video)
- Week 05 – Mon, 09/26 – Mirror descent (slides, video)
- Week 05 – Wed, 09/28 – Student Lectures #1 and #2 (video)
- Week 06 – Mon, 10/03 – Optimality of algorithms (slides)
- Week 06 – Wed, 10/05 – Student Lectures #3 and #4
- Week 07 – Mon, 10/10 – No class (Fall Break)
- Week 07 – Wed, 10/12 – Student Lectures #5 and #6
- Week 08 – Mon, 10/17 – Accelerated gradient methods (slides)
- Week 09 – Wed, 10/19 – Student Lectures #7 and #8
- Week 10 – Mon, 10/24 – Conjugate functions (slides)
- Week 10 – Wed, 10/26 – Student Lectures #9 and #10
- Week 11 – Mon, 10/31 – Smoothing for nonsmooth optimization (slides)
- Week 11 – Wed, 11/02 – Student Lectures #11 and #12
- Week 12 – Mon, 11/07 – Proximal operator (slides)
- Week 12 – Wed, 11/09 – Student Lectures #13 and #14
- Week 13 – Mon, 11/14 – Proximal gradient methods (slides)
- Week 13 – Wed, 11/16 – Student Lectures #15 and #16
- Week 14 – Mon, 11/21 – ADMM (slides)
- Week 14 – Wed, 11/23 – No class (Thanksgiving)
- Week 15 – Mon, 11/28 – Final Presentations (#1, #2, #3)
- Week 15 – Wed, 11/30 – Final Presentations (#4, #5, #6, #7)
- Week 16 – Mon, 12/05 – Final Presentations (#8, #9, #10, #11)
- Week 16 – Wed, 12/07 – Final Presentations (#12, #13, #14) – feedback form
Assignments
- Assignment #0 (due on Wed, 09/07) (code)—Solution #0
- Assignment #1 (due on Wed, 10/05) (code)—Solution #1
- Assignment #2 (due on Wed, 11/21) (code)—Solution #2