The Chinese University of Hong Kong
IERG 6120 Advanced Topics in Information Engineering I: Convex and Stochastic
Optimization and Applications
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| Fall 2024,
W 10:30am-1:15pm, Room SHB 833 | |
Instructor:
Xiaojun Lin
Tel: 3943-5587
E-mail: xjlin@ie.cuhk.edu.hk
Office hour: F 2:30-3:15 or by appointment
Homepage: https://staff.ie.cuhk.edu.hk/~xjlin/IERG6120
Course Description
Syllabus is here: We
plan to cover two topics
- Convex optimization
- Stochastic optimization under uncertainty
We will take an application-driven approach of learning: each sub-topic
of the theory will come with illustrative applications in communications,
networks, and machine learning.
-
Theory: Convex analysis, Lagrange duality, distributed/asynchronous
algorithms, proximal optimization, stochastic approximation, Markov
decision program, dynamic programming
- Applications: Congestion control, wireless power control and
opportunistic scheduling, cross-layer design, statistical learning
Recommended Texts (Online versions available. See links in syllabus):
- S. Boyd and L. Vandenberghe, Convex Optimization, Cambridge
University Press 2004.
- D. Bertsekas and J. N. Tsitsikalis, Parallel and Distributed
Computation: Numerical Methods, Athena Scientific, 1997.
- D. Bertsekas and S. Shreve, Stochastic Optimal Control: The Discrete-Time Case, Athena Scientific, 1996.
Course Objectives
Students should be equipped with the basic theory of
convex optimization and Markov decision process,
and be able to apply to research problems.
Supplemental Readings
Project Instructions
- Programming project (pdf) due
November 6th, 2024. The configuration file in MATLAB can be downloaded
here.
(Solution) ( Note: the total number
of points is 60. If you are not happy with your grade, you can submit a regrade
before our class on 27 November, 2024. Please bring both your original
(graded) report and the new report to class, and submit a new zip file through the
"Project 1 regrade" link on Blackboard.
If you do submit a regrade, your final grade for this project
will be the average of the two scores.)
- Final project Instruction
Announcements
Homeworks
- (Nov. 19, 2024) Homework 6 is assigned (pdf) . Due Dec. 2, 2024.
- (Oct. 23, 2024) Homework 5 is assigned (pdf) . Due Nov. 6, 2024.
(solution)
- (Oct. 9, 2024) Homework 4 is assigned (pdf) . Due Oct. 23, 2024.
(solution)
- (Sept. 25, 2024) Homework 3 is assigned (pdf) . Due Oct. 9, 2024.
(solution)
- (Sept. 11, 2024) Homework 2 is assigned (pdf) . Due Sept. 25, 2024.
(solution)
- (Sept. 4, 2024) Homework 1 is assigned (pdf) . Due Sept. 11, 2024.
(solution)
Exam
Weekly Coverage and Readings