ECE 647 Convex and Stochastic Optimization and Applications (Old Title: Performance Modelling of Computer Communication Networks)

Purdue University

ECE 647 Convex and Stochastic Optimization and Applications

Spring 2023, MWF 12:30-1:20pm, Room BHEE224

Instructor: Xiaojun Lin
Tel: 4-0626
E-mail: linx@ecn.purdue.edu
Office hour: TBA or by appointment
Homepage: http://engineering.purdue.edu/~linx/ECE647

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 program, and be able to apply to research problems.

Supplemental Readings

Project Instructions

List of final project reports (here)
Programming project (pdf) due 3/20/2023. The configuration file in MATLAB can be downloaded here. (Solution) (Note: the total number of points is 60.)
Final project Instruction

Announcements

Note: All reference books are available online. Please see the links in syllabus.
Welcome to ECE 647!

Homeworks

(04/11/2023) Homework 5 (pdf). (solution)
(02/28/2023) Homework 4 (pdf). (solution)
(02/14/2023) Homework 3 (pdf). (A typo for Problem 4(b) has been corrected.) (solution)
(02/02/2023) Homework 2 (pdf). (solution)
(01/12/2023) Homework 1 (pdf). Due date has been extended to 2/1. (Please check out the updated pdf to the left, which contains additional explanation for "Convex Functions", Problem 3.) (solution)

Exam

(04/07/2023) Solution to the midterm exam. You may submit regrade request in writing before 4/14. Please do not alter your paper. Email me
Sample exam for Midterm (pdf) (solution)

Weekly Coverage and Readings