**STAT 31000/CMSC 37811.** Mathematical Computation II —
Numerical Optimization

###
Department of Statistics

University of Chicago

Winter 2012

This course covers the fundamentals of continuous optimization, linear
programming, and convex optimization. Students are expected to have a
solid grounding in multivariate calculus and linear algebra, and will be
expected to complete several substantial programming projects (using
MATLAB) during the course.

The first part of this course will focus on techniques that form the
basis for large scale optimization problems, namely, iterative methods for
solving large sparse linear systems. We will emphasize connections to the
second part of the course on nonlinear programming and to other courses
in UChicago Optimization sequence:

http://optimization.uchicago.edu

We will discuss the following stationary
methods:

- Jacobi
- Gauss-Seidel
- Successive Over-Relaxation

the following semi-iterative methods:
- Richardson
- Steepest Descent
- Chebyshev
- Conjugate Gradient

and the following Krylov subspace methods:
- CG
- MINRES, SYMMLQ, LSQR
- GMRES, QMR, BiCG

We will cover some basic ideas for preconditioning and stopping
conditions.
This web page is for the first part of the course. The web
page for the second part is here.

## Announcements

- 02/02/12: Office hours tomorrow 3:00–3:30 and
4:30–5:00 on
Fri, Feb 03.

- 01/29/12: Office hours next week will be 4:30–5:30 on
Thu, Feb 02.

- 01/10/12: Lecture notes posted. Check your e-mail for the URL.

- 01/03/12: Check back regularly for announcements.

## Lectures

**Location:** Eckhart Hall,
Room 117

**Times:** 3:00–4:20pm.

## Course staff

**Instructors:** Lek-Heng
Lim (Part I) and Mihai
Anitescu (Part II)

Office: Eckhart
122

`lekheng(at)galton.uchicago.edu`

Tel: (773) 702-4263

**Office hours:** Wed, 3:30–4:30pm.

**Course Assistant:** Yunda
Zhong

Office: Ryerson N375

`ydzhong(at)galton.uchicago.edu`

**Office hours:** TBA

Problem set will be assigned weekly and will be due the following week.
Collaborations are permitted but you will need to write up your own
solutions.

- Problem Set 3: PDF (posted: Jan 29;
due: Feb 03)

- Problem Set 2: PDF (posted: Jan 21;
due: Jan 26)

- Problem Set 1: PDF (posted: Jan 13;
due: Jan 19)

**Bug report** on the problem sets or the solutions:
`lekheng(at)galton.uchicago.edu`

## Supplementary materials

## Grades

**Grade composition:** No in-class examination. Grade based entirely
on eight take-home problem sets.