Stephen J Wright, University of Wisconsin

Stephen J. Wright

Computer Sciences Department
University of Wisconsin
1210 West Dayton Street
Madison, WI 53706
[directions]

Optimization Online

Mathematical Optimization Society

Mackay, December 2008

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

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

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

Office Hours:
Fall 2022: Monday 3-4, Thursday 3-4, CS 4379

Current:
CS730: Nonlinear Optimization II (Spring 2022)

Next:
CS524 (Spring 2023)

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
NEW!! 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 and 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
The Onion and Doonesbury