MATH3806: Optimization Methods

Shanghai Jiao Tong University, Fall 2023

 

Course Information

InstructorKuan Yang & Bo jiang
Lecture timesMonday   16:00 - 17:40    (Week 1 - 16)
Thursday 10:00 - 11:40    (Odd weeks)
LocationUpper Hall 103 (上院 103)
Teaching assistant(s)Zhidan Li (李至丹)   &   Jiahao Zhao (赵佳豪)
Office hoursTo be determined

News and Announcements

 

Textbook and References

 

Syllabus

1. Optimization
2. Linearity and affinity
3. Convexity
4. Linear optimization
5. Convex optimization

 

Lecture Schedule

WeekDateTopicsLecture notesHomework
109/11 (Mon.)Introductory examplesLecture 01 / pdf 
 09/14 (Thurs.)Optimality condition,
review of analysis
Lecture 02 / pdfHW1
209/18 (Mon.)Convex setsLecture 03 / pdf 
309/25 (Mon.)Separating hyperplaneLecture 04 / pdf 
 09/28 (Thurs.)Convex functionsLecture 05 / pdf 
510/09 (Mon.)Convex functions (cont'd)Lecture 06 / pdf 
 10/12 (Thurs.)Linear programmingLecture 07 / pdf 
610/16 (Mon.)LP duality and applicationsLecture 08 / pdf 
710/23 (Mon.)Unconstrained optimization,
gradient descent method
Lecture 09 / pdf 
 10/26 (Thurs.)Analysis of gradient descent,
smoothness and strong convexity
Lecture 10 / pdf 
810/30 (Mon.)Newton's methodLecture 11 / pdf 
911/06 (Mon.)Proximal gradient descentLecture 12 / pdf 
 11/09 (Thurs.)Bregman divergenceLecture 13 / pdf 
1011/13 (Mon.)Mirror descentLecture 14 / pdf 
1111/20 (Mon.)Lagrange multiplier methodLecture 15 / pdf 
 11/23 (Thurs.)Lagrange multiplier method (cont'd)Lecture 16 / pdf 
1211/27 (Mon.)Newton's method and KKT systemLecture 17 / pdf 
1312/04 (Mon.)Inner point and barrier methodsLecture 18 / pdf 
 12/07 (Thurs.)KKT conditionLecture 19 / pdf 
1412/11 (Mon.)Projected gradient descentLecture 20 / pdf 
1512/18 (Mon.)Lagrange dual function and problemLecture 21 / pdf 
 12/21 (Thurs.)Strong duality and Slater's conditionLecture 22 / pdf 
1612/25 (Mon.)Review and summaryLecture 23 / pdf