Computing and Optimization Fall 2020, Princeton University (undergraduate course)
Useful links  Zoom (password has been emailed to registered students)
 Lectures: Tue/Thu 1:30pm2:50pm EST. Join here.
 All 10 office hours and 6 precepts (see schedule here). Join here.
 Piazza (used only for Q&A)
 The course syllabus
 Blackboard
 Download MATLAB
 Download CVX
Lectures The notes below summarize most of what I cover during lecture. Please complement them with your own notes. Some lectures take one class session to cover, some others take two. Zoom recordings of our lectures will be posted on Blackboard a few hours after each lecture.
 Lecture 1: Let's play two games! (Optimization, P and NP.)
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 Lecture 2: What you should remember from linear algebra and multivariate calculus.
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 Lecture 3: Unconstrained optimization, least squares, optimality conditions.
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 Lecture 4: Convex optimization I.
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 Lecture 5: Convex optimization II.
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 CVX: Basic examples.
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 Lecture 6: Applications in statistics and machine learning: LASSO + Support vector machines (SVMs)
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 Lecture 7: Root finding and line search. Bisection, Newton, and secant methods.
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 Lecture 8: Gradient descent methods, analysis of steepest descent, convergence and rates of convergence, Lyapunov functions for proving convergence.
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 Lecture 9: Multivariate Newton, quadratic convergence, Armijo stepsize rule, nonlinear least squares and the GaussNewton algorithm.
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 Lecture 10: Conjugate direction methods, solving linear systems, Leontief economy.
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 Lecture 11: Linear programming: applications, geometry, and the simplex algorithm.
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 Lecture 12: Duality + robust linear programming.
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 Lecture 13: Semidefinite programming + SDP relaxations for nonconvex optimization.
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 Lecture 14: A working knowledge of computational complexity theory for an optimizer.
[pdf]  Lecture 15: Limits of computation + course recap.
