IE539: Convex Optimization Syllabus for Fall 2016

IE539: Convex Optimization

Instructor: Woo Chang Kim
Industrial & Systems Engineering
Fall 2016

Course Objectives
This course will address a number of advanced topics in mathematical programming with particular emphasis on
convex optimization problems. Topics will include
Convex sets and convex functions
Convex optimization problems, including linear, quadratic, semidefinite, and other special problems
Applications of convex optimization in statistics and finance
Duality and optimality conditions
Algorithms for unconstrained and constrained convex optimization, including interior point methods\

Instructor
Woo Chang Kim, ISysE Dept., #3107, E2-2, (T) 3129, wkim@kaist.ac.kr
Teaching assistant: TBA
Office hours: Mondays and Wednesday 2:30 to 4:30PM

Time and Location

Time: Mondays and Wednesdays 10:30 to 11:45
Location: B105 ( ), E2-2
The instructor might be attending INFORMS conference during the second week of November. If so,
make-up classes will be given in advance.

Prerequisites
Advanced calculus
Linear algebra
Mathematical analysis
Basic knowledge in Matlab

Textbook
Convex optimization, S.Boyd & L.Vandenberghe, Cambridge University Press
Visit http://www.stanford.edu/~boyd/cvxbook for detailed information about the book

References
Nonlinear Programming: Theory and Algorithms by M. Bazaraa, H. Sherali, and C. Shetty
Nonlinear Programming by D. Bertsekas
Convex Analysis and Optimization by D. Bertsekas
Introductory Lectures on Convex Optimization by Y. Nesterov
Numerical Optimization by J. Nocedal and S. Wright
Nonlinear Optimization by A. Ruszczynski

Logistics
Grading: Homework assignments (30%), Midterm exam (30%), Final exam (40%)
Attendance: -3% for each absence after first 3
The announcements as well as the course materials will be posted to the KLMS website

IE539: Convex Optimization Syllabus for Fall 2016

Tentative Schedule

Week # Lecture Date Topics Reading

1 31-Aug Introduction Chapter 1, Appendix A
1
2 2-Sep Convex sets I Chapter 2
3 7-Sep Convex sets II
2
4 9-Sep Convex sets III
5 14-Sep Convex sets IV
3
6 16-Sep Convex functions I Chapter 3
7 21-Sep Convex functions II
4
8 23-Sep Convex functions III, Quasiconvex functions
28-Sep No Class (Chusoek)
5
9 30-Sep Convex optimization problems I Chapter 4
10 5-Oct Convex optimization problems II
6
11 7-Oct Convex optimization problems III
12 12-Oct Convex optimization problems: extensions
7
13 14-Oct SDP and related problems, Optimization software
19-Oct
8 Midterm
21-Oct
14 26-Oct Duality I Chapter 5
9
15 28-Oct Duality II
16 2-Nov Duality III
10
17 4-Nov Duality IV
18 9-Nov Duality V
11
19 11-Nov Algorithms for unconstrained optimization I Chapter 9
20 16-Nov Algorithms for unconstrained optimization II
12
21 18-Nov Algorithms for unconstrained optimization III
22 23-Nov Algorithms for unconstrained optimization IV
13
23 25-Nov Numerical linear algebra Appendix C
24 30-Nov Algorithms for optimization with linear constraints Chapter 10
14
25 2-Dec Interior point methods I Chapter 11
26 7-Dec Interior point methods II
15
27 9-Dec Interior point methods III
14-Dec
16 Final Exam
16-Dec