Week 4- Constrained Least Squares

Click here to read about Week 3.

This week we will learn how to deal with linear equality constraints in least squares optimization problems. There will be a discussion of Lagrange multipliers, and application examples will include B-splines and portfolio optimization. Constraints are a critical part of both optimization problems and modeling in general.

Your second homework assignment will be due Sunday February 23rd.

Here are more details on what you need to do this week:

• Go through module 4 and complete the week 4 readings.
• Attend our second meetup on Monday at 6:45 p.m. ET on Zoom
• Continue working on Lab 2