STAT 28000. Optimization

Department of Statistics
University of Chicago
Spring 2017

This is an introductory course on optimization that will cover the rudiments of unconstrained and constrained optimization of a real-valued multivariate function. The focus is on the settings where this function is, respectively, linear, quadratic, convex, or differentiable. Time permitting, topics such as nonsmooth, integer, vector, and dynamic optimization may be briefly addressed. Materials will include basic duality theory, optimality conditions, and intractability results, as well as algorithms and applications.

Announcements

Lectures

Location: Eckhart Hall, Room 133.

Times: Tue & Thu, 3:00–4:20pm

Course staff

Instructor: Lek-Heng Lim
Office: Jones 122B
lekheng(at)galton.uchicago.edu
Tel: (773) 702-4263
Office hours: Two-hour session before problem set is due, Jones 122B

Course Assistant: Greg Naisat
Office: Jones 226
gregn(at)galton.uchicago.edu
Office hours: Wed, 4:00–5:00pm

Grader: Dongyue Xie
dyxie(at)galton.uchicago.edu

Grader: Yiling You
ylyou(at)galton.uchicago.edu

Syllabus

Problem Sets

Collaborations are permitted but you will need to write up your own solutions and declare your collaborators. The problem sets are designed to get progressively more difficult. You will get at least six days for each problem set.

You are required to implement your own programs for problems that require some amount of simple coding (using Matlab, Mathematica, R, or SciPy).

Bug report on the problem sets: lekheng(at)galton.uchicago.edu

Supplementary materials

Grades and quizzes

Grade composition: 60% Problem Sets, 40% Quizzes.

Midterm exams: Quiz I on Thu, Apr 20, 3:00–4:20pm, Eckhart 133. Quiz II on Tue, May 30, 3:00–4:20pm, Eckhart 133. Closed book, closed notes, no cheat sheet.

References

We will not use any specific textbook but will use selected material from the following references, all of which would be accessible to undergraduates.

You may download all these books online from an UChicago IP address or via ProxyIt! if you are off-campus.