EE364a: Course Information

Lectures

Lectures are Tuesdays and Thursdays, 9:00–10:20am, in NVIDIA auditorium. Videos of EE364a lectures will be available (to registered students) on SCPD, a few hours after each lecture, but you are encouraged to attend the live lectures. As a beta feature, live video will be available on Canvas.

Office hours

Sanjay's office hours:

  • Tuesdays 10:20–11:50am, Packard 235.

TA office hours:

  • Albert: Monday 1:50pm-3:50pm, Packard 109.

  • Reese: Tuesday, 11am-1pm, Building 100, Room 101K.

  • Nitya: Tuesday 12pm-2pm, Packard 107.

  • Jongho: Tuesday 2pm-4pm, Packard 109. SCPD: Google Hangout via piazza.

  • Devyani: Wednesday 12:30pm-2:30pm, McCullough 126. SCPD: Google Hangout via piazza.

  • Guillermo: Wednesday 3pm-5pm, Hewlett 103.

  • Kunal: Thursday 2pm-4pm, TBD. SCPD: Google Hangout via piazza. (changed for week 3 onwards)

  • Ahmadreza: Thursday 2pm-4pm, Packard 109. SCPD: Google Hangout via piazza.

Textbook and optional references

The textbook is Convex Optimization, available online, or in hard copy form at the Stanford Bookstore.

Course requirements and grading

Requirements:

  • Weekly homework assignments. Homework will normally be assigned each Friday, and due the following Friday by 5pm on Gradescope. Late homework will not be accepted. You are allowed, even encouraged, to work on the homework in small groups, but you must write up your own homework to hand in. Homework will be graded on a scale of 0–4.

  • Final exam. The format is a 24 hour take home, scheduled for the last week of classes, but we will accommodate your schedule if you can't take it at that time.

Grading: Homework 20%, final exam 80%.

These weights are approximate; we reserve the right to change them later.

Prerequisites

Good knowledge of linear algebra (as in EE263), and exposure to probability. Exposure to numerical computing, optimization, and application fields helpful but not required; the applications will be kept basic and simple.

You will use one of CVX (Matlab), CVXPY (Python), or Convex.jl (Julia), to write simple scripts, so basic familiarity with elementary programming will be required. We refer to CVX, CVXPY, and Convex.jl collectively as CVX*.

Quizzes

This class has no formal quizzes. There are on-line quizzes on the lecture slides page. These are just for fun; they are not graded and your responses are not logged.

Catalog description

Concentrates on recognizing and solving convex optimization problems that arise in applications. Convex sets, functions, and optimization problems. Basics of convex analysis. Least-squares, linear and quadratic programs, semidefinite programming, minimax, extremal volume, and other problems. Optimality conditions, duality theory, theorems of alternative, and applications. Interior-point methods. Applications to signal processing, statistics and machine learning, control and mechanical engineering, digital and analog circuit design, and finance.

Course objectives

  • to give students the tools and training to recognize convex optimization problems that arise in applications

  • to present the basic theory of such problems, concentrating on results that are useful in computation

  • to give students a thorough understanding of how such problems are solved, and some experience in solving them

  • to give students the background required to use the methods in their own research work or applications

Intended audience

This course should benefit anyone who uses or will use scientific computing or optimization in engineering or related work (e.g., machine learning, finance). More specifically, people from the following departments and fields: Electrical Engineering (especially areas like signal and image processing, communications, control, EDA & CAD); Aero & Astro (control, navigation, design), Mechanical & Civil Engineering (especially robotics, control, structural analysis, optimization, design); Computer Science (especially machine learning, robotics, computer graphics, algorithms & complexity, computational geometry); Operations Research (MS&E at Stanford); Scientific Computing and Computational Mathematics. The course may be useful to students and researchers in several other fields as well: Mathematics, Statistics, Finance, Economics.