EE546, Special Topics: Convex Optimization Algorithms
Modern large-scale convex optimization algorithms have had an immense impact in areas including machine
learning, signal processing, and engineering design. The objectives of this course are to
- Develop working experience of practical optimization algorithms along with their complexity analysis
- Discuss structural convex optimization, to develop the capability of designing customized algorithms by exploiting problem structure
- Expose students to research frontiers in convex optimization and its applications
Achnowledgement: Course material prepared in collaboration with
Dr. Lin Xiao, Researcher at Microsoft Research, Redmond, WA.
- Project presentations in the week of June 2: see project section for the schedule. Class will start slightly
earlier on 6/2 and 6/4.
- Reza Eghbali will be teaching in the week of May 19th. He will also hold office hours on Wed May 21 at the usual time,
3-4:55pm, in room EEB 258.
- HW 2 is assigned, due 5/23. See HW section for details.
- Some inetresting seminars/workshops at UW related to Optimization:
2. Gradient methods
3. Optimal gradient methods
5. Subgradient methods
6. Stochastic and online optimization (guest lecture by Dr. Lin Xiao)
Proximal gradient methods:
7. Proximal mapping
8. Proximal gradient methods
Decomposition and coordinate descent:
9. Dual decomposition and dual algorithms
10. Augmented Lagrangian, alternating direction multiplier method
11. Smoothing methods
12. Coordinate descent method (guest lecture by Dr. Lin Xiao)
13. Newton's method, self-concordant analysis (guest lecture by Reza Eghbali)
14. Interior-point methods (guest lecture by Reza Eghbali)
There will be two homework sets, including some theory, but with more focus on implementation (in Matlab)
and insights into algorithms discussed in class.
Here is a helpful Matlab tutorial, including object oriented features: Yagtom
Homework 1: assigned 4/16, due 4/23.
See the homework pdf file and a zip folder with related Matlab files
Please upload submissions
HW 1 solutions are posted, please check the Catalyst sharespace (same link as the HW files).
Homework 2: assigned 5/12, due 5/23 (Friday), 11:45pm. See the homework pdf file and a zip folder with related Matlab files
Please upload submissions
Projects can be done individually or in groups of 2. Project types can be:
The requirements for the projects are (1) proposal, due in mid quarter, (2) in-class presentation or poster, and (3) a written report, due towards the end of the quarter.
- novel applications and modeling, solution with standard algorithms
- extensive study of particular algorithms: survey, comparison, extensions
Project timeline: proposal due: Thurs 5/1 (by 11:45pm); presentations: 6/2, 6/4
(you will be assigned to one of the days); final report due: Tues 6/10.
Project proposal: 2 pages, including description of topic and problem to be explored and relevant references.
Due 5/1, please upload on our class dropbox.
Project presentations: 15 minute presentation (12 min talk, 3 min questions, strict time!).
Please prepare a short set of slides. Presentation should cover
the main ideas and your results; details will be covered in your report. You can continue work on your project after
presenting until project report is due.
Schedule of presentations:
(If you cannot present on the date denoted above, you can try swapping with someone else.)
Mon June 2, 1:15pm-3pm:
Hao Fang + Yi Luan
Wed June 4, 1:00pm-3pm:
Mushfiqur Sarker + Yushi Tan
Project report: due Tues June 10. Up to 8 pages including plots (there's no limit on the bibliography).
Credit: 3 units
Lectures: Mondays and Wednesdays, 1:30-2:50pm, MEB room 245
Maryam Fazel, office: Paul Allen Center, Room CSE 230.
Office hourse: Wednesdays 3-5pm
Prerequisites: EE 578 (Convex optimization) or Math 516 (Numerical Optimization), or consent of the instructor.
Homeworks: 2 homework sets (mainly algorithm implementation)
Final project: project proposal, in-class presentation, and final report
Grading: homeworks 30%, final project 70%.
The lectures notes are largely based on the following books, and on the lectures notes of
Lieven Vandenberghe for EE236C at UCLA, and Stephen
Boyd for EE364B at Stanford University.
Note that the second and third book are freely available online. The first and the fourth book are on reserve at the UW