Research Interests

Numerical optimization, especially problems involving continuous variables. I'm interested in the theory, algorithms, and implementations, and in applications of all types.

Positions

• Chair, Department of Computer Sciences at UW-Madison.
• George B. Dantzig Prize from the Mathematical Optimization Society and SIAM, 2024.
• National Academy of Engineering, 2024.
• Khachiyan Prize from INFORMS Optimization Society, 2020.
• Hilldale Professor, UW-Madison.
• George B. Dantzig Professor of Computer Sciences.
• Sheldon B. Lubar Chair of Computer Sciences.
• Amar and Balinder Sohi Professor of Computer Sciences.
• Discovery Fellow in the Wisconsin Institute for Discovery at UW-Madison.
• Past Chair of the Mathematical Optimization Society .
• SIAM Fellow and former member of the Board of Trustees of SIAM (2005-2014).
• Site Director of the Institute for Foundations of Data Science.

Current Research

• Being Department Chair.
• Design and analysis of algorithms for continuous optimization.
• Optimization in machine learning and other areas.

Some Past Research Projects

• Optimization software: PCx (linear programming), OOQP (convex quadratic programming).
• Compressed sensing software: GPSR, SpaRSA. Also GPU codes for signal and image processing, and TV denoising software, and the LPS code for regularized logistic regression.

Teaching

Current:
Not these days, baby!

Previously Taught:
CS726: Nonlinear Optimization I (UW, Fall 2019)
CS525: Linear Programming (UW, Fall 2015)
CS730: Nonlinear Optimization II (Spring 2020)
CS524: Introduction to Optimization (Fall 2018)

Publications

• Google Scholar page
• Optimization for Data Analysis, with Ben Recht, published by Cambridge University Press in 2022. Here's a list of typos.
• Primal-Dual Interior-Point Methods, published by SIAM in 1997 (see a somewhat dated list of corrections).
• Numerical Optimization, Second edition, with Jorge Nocedal, was published in August 2006. Here is a list of typos. You can buy it here, for example.
• Linear Programming with MATLAB, with Michael Ferris and Olvi Mangasarian, published by SIAM in 2007. See also this page of Matlab programs discussed in the book.

Talks and Links

• Some talks on YouTube
• OLD talks on Videolectures .
• MW and the earlier metaNEOS project: Grid Computing and Optimization
• NEOS Server, and NEOS Guide / Wiki, now hosted at the Wisconsin Institutes for Discovery after many successful years at Argonne National Lab.
• Optimization Online, the latest and greatest eprints on optimization (be sure to post your finest work!)
• Interior-Point Methods Online, an older archive of interior-point papers and stuff
• Mathematical Optimization Society and SIAM Activity Group on Optimization
• GPSR: Gradient Projection for Sparse Reconstruction and SpaRSA: Sparse Reconstruction by Separable Approximation. We also have a GPU implementation of SpaRSA.
• TV Denoising Software
• Sampling methods for Stochastic Programming