TTIC 31070 (CMSC 34500): Convex Optimization

This is a webpage for the Spring 2012 course at TTIC and the University of Chicago (known as CMSC 34500 at the University).

Mondays and Fridays 9:30am-10:50am at TTIC 530 (located at 6045 S. Kenwood Ave, fifth floor)

Instructor: Nati Srebro.
Additional Lecturer: Dhruv Batra.
TA: Payman Yadollahpour .
Homework Submissions: .

Course Description

The course will cover techniques in unconstrained and constrained convex optimization and a practical introduction to convex duality. The course will focus on (1) formulating and understanding convex optimization problems and studying their properties; (2) presenting and understanding optimization approaches; and (3) understanding the dual problem. Limited theoretical analysis of convergence properties of methods will be presented. Examples will be mostly from data fitting, statistics and machine learning.

Specific Topics:

Text Books

The required textbook for the class is: The book is available online here. About 75% of the material covered in the class can be found in the above book.

Supplemental recommended books:

Requirements and Grading:

There will be roughly bi-weekly homework assignments, counting toward 30% of the grade. Assignments must be typed (not handwritten) and submitted electronically in PDF. Collaborative work on the homeworks is encouraged, but each student must eventually write up the solution independently.

There will also be several MATLAB programming and experimentation assignments, counting toward another 20% of the grade.

The remaining 50% of the grade will be based on a final exam.

Lectures and Required Reading:

Lecture I: Monday March 26th
Boyd and Vandenberghe Sections 1.1-1.4
Lecture II: Wednesday March 28th
Boyd and Vandenberghe Sections 2.1-2.3, 2.5, 3.1-3.2
Lecture III: Friday March 30th
Boyd and Vandenberghe Sections 9.1-9.3
Lecture IV: Monday April 2nd
Boyd and Vandenberghe Sections 9.5-9.6
Lecture V: Wednesday April 4th
Boyd and Vandenberghe Section A.4
Lecture VI: Friday April 6th
Nocedal and Wright Sections 5.1, 6.1
Lecture VII: Wednesday April 11th
Boyd and Vandenberghe Sections 4.2-4.3,5.1,5.2,5.4,5.5.1
Lecture VIII: Friday April 13th
Lecture IX: Wednesday April 18th
Lecture X: Friday April 20th
Lecture XI: Wednesday April 25th
Lecture XII: Friday April 27th
Lecture XIII: Monday April 30th
Lecture XIV: Friday May 4th
Lecture XV: Wednesday May 9th
Lecture XIV: Friday May 11th
Lecture XV: Wednesday May 16th
Lecture XVI: Friday May 18th
Lecture XVII: Monday May 21st
Lecture XVIII: Wednesday May 23rd


Last modified: Fri May 11 10:11:44 2012