| 1. |
MA5104 |
Cryptography and Network Security ▼
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3 |
0 |
0 |
3 |
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Course Number
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MA5104 (DE)
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Course Credit
(L-T-P-C)
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3-0-0-3
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Course Title
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Cryptography and Network Security
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Learning Mode
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Lectures
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Learning Objectives
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The objective of the course is to present an introduction to Cryptography, with an emphasis on how to protect information security from unauthorized users and is to understand the basics of Network vulnerability and Security Protection.
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Course Description
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The aim of this course is to introduce the student to the areas of cryptography and cryptanalysis. This course develops a basic understanding of the algorithms used to protect users online and to understand some of the design choices behind these algorithms.
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Course Content
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Security goals and attacks, Cryptography and cryptanalysis basics, Mathematics behind cryptography, Traditional and modern symmetric-key ciphers, DES, AES, Asymmetric-key ciphers, One-way function, Trapdoor one-way function, Chinese remainder theorem, RSA cryptosystem, Elgamal Cryptosystem, Diffie-Hellman key exchange algorithm, Elliptic curve cryptography, Cryptographic hash function, Message authentication, PKI, Digital signature, RSA digital signature, Security at the Network Layer: IPSec and IKE, Security at the Transport Layer: SSL and TLS, Security at the Application Layer: PGP and S/MIME
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Learning Outcome
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Students will be familiar with the significance of information security in the digital era. Also, they can identify various threats and vulnerabilities in networking.
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Assessment Method
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Quiz /Assignment/ Project / MSE / ESE
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Text Books:
- Cryptography and Network Security by Behrouz A. Forouzan and Debdeep Mukhopadhyay, Second edition, Tata McGraw Hill, 2011.
- Cryptography and Network Security Principles and practice by W. Stallings, 5/e, Pearson Education Asia, 2012.
Reference Books:
- Cryptography: Theory and Practice by Stinson. D., third edition, Chapman & Hall/CRC, 2010.
- Elementary Number Theory with applications by Thomas Koshy, Elsevier India, 2005.
- Research papers
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| 2. |
MA5105 |
Fundamentals of Block Chain ▼
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3 |
0 |
0 |
3 |
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Course Number
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MA5105 (DE)
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Course Credit
(L-T-P-C)
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3-0-0-3
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Course Title
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Fundamentals of Block Chain
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Learning Mode
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Lectures
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Learning Objectives
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To give students the understanding of emerging abstract models for Blockchain Technology and to familiarize with the functional/operational aspects of cryptocurrency eco-system.
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Course Description
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This course will be on the fundamentals of Blockchain and Blockchain Technology. After covering fundamentals, we will look at some applied uses and criticisms. The best-known example of Blockchain Technology in wide use today is as the storage and transaction mechanism for the cryptocurrency Bitcoin.
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Course Content
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Concepts of cryptocurrency and Blockchain, Consensus Algorithms- Security of Blockchain, Blockchain Programs and Network, Concept of Blockchain parameters, Double-Spending Problem, Public Key Cryptosystem, Cryptographic Hash Functions, Digital Signatures, Bitcoin Cryptocurrency, Transactions, Mining, Consensus Mechanisms and Validation, Proof of Work (PoW), Introduction of Bitcoin Program, Ethereum Cryptocurrency, Ethereum vs. Bitcoin, Transactions, Ethereum Blocks, Proof of Stake (PoS), Security issues in Blockchain, Anonymity, Sybil Attacks, Selfish Mining, 51/49 ratio Attacks, Introduction to Smart Contracts, Framework of smart contract, Life cycle of smart contract, Challenges of Smart Contract, Case Studies as Blockchain technology based Applications
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Learning Outcome
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Students will be familiar with blockchain and cryptocurrency concepts. Also, they can design and demonstrate end-to-end decentralized applications.
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Assessment Method
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Quiz /Assignment/ Project / MSE / ESE
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Text Books:
- Narayanan, J. Bonneau, E. Felten, A. Miller, and S Goldfeder, “Bitcoin and Cryptocurrency Technologies”, Princeton University Press, 2016
- Xiwei Xu, I. Weber, M. Staples, “Architecture for Blockchain Applications”, Springer, 2018.
Reference Books:
- Swan, “Blockchain: Blueprint for a New Economy”, Oreilly, 2015
- Daniel Drescher, “Blockchain Basics”, Apress.
- Lecture Note of Prof. S. Vijayakumaran (IIT Bombay), “An Introduction to Bitcoin”
- Lecture Note of Prof. S. Shukla (IIT Kanpur), “Introduction to Blockchain Technology and Applications”
- Research papers
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| 3. |
MA5106 |
Mathematical Finance ▼
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3 |
0 |
0 |
3 |
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Course Number
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MA5106 (DE)
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Course Credit
(L-T-P-C)
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3-0-0-3
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Course Title
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Mathematical Finance
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Learning Mode
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Lectures
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Learning Objectives
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The main objective of the course is to introduce the students to the broader area of mathematical finance from a theoretical as well as computational perspective.
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Course Description
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Mathematical finance, as an interdisciplinary subject, which encompasses topics from financial engineering, mathematics and computational techniques.
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Course Content
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Financial markets and instruments, risk-free and risky assets; Interest rates, present and future values of cash flows, term structure of interest rates, spot rate, forward rate; Bonds, bond pricing, yields, duration, term structure of interest rates; Asset pricing models, no-arbitrage principle; Cox-Ross-Rubinstein binomial model, geometric Brownian motion model; Financial derivatives, Forward and futures contracts and their pricing, hedging strategies using futures, interest rate and index futures; Swaps and its valuation, interest rate swaps, currency swaps; Options, general properties of options, trading strategies involving options; Discrete time pricing of European and American derivative securities by replication; Continuous time pricing of European and American derivate securities by risk-neutral valuation; Finite difference approach to pricing European options and American options, free-boundary problem; Monte-Carlo simulation under risk neutral measure for computing financial derivative prices.
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Learning Outcome
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On successful completion of the course, students should be able to:
1. Understand the fundamentals of quantitative finance.
2. Grasp the concept of time value of money and interest rates.
3. Comprehend ideas of pricing through the application of basic apply mathematical concepts. 4. Implementation of the theoretical topics through computational implementation expected in finance industry.
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Assessment Method
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Quiz /Assignment/ Project / MSE / ESE
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Text Books:
- Capinski and T. Zastawniak, Mathematics for Finance: An Introduction to Financial Engineering, 2nd Edition, Springer, 2010.
- Higham, Introduction to Financial Option Valuation: Mathematics, Stochastic and Computation, Cambridge University Press, 2004.
Reference Books:
- C. Hull, Options, Futures and Other Derivatives, 10th Edition, Pearson, 2018.
- Cvitanic and F. Zapatero, Introduction to the Economics and Mathematics of Financial Markets, Prentice-Hall of India, 2007.
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| 4. |
MA6101 |
Advanced Graph Theory ▼
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3 |
0 |
0 |
3 |
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Course Number
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MA6101 (DE)
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Course Credit
(L-T-P-C)
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3-0-0-3
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Course Title
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Advanced Graph Theory
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Learning Mode
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Lectures
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Learning Objectives
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To learn various notions in basic and advanced graph theory and their applications.
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Course Description
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This course is meant to introduce various notions in graph theory and their application.
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Course Outline
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Basic definitions in graph theory, trees, connectivity, spanning trees, Eulerian and Hamiltonian graphs, matching in graphs, planar graphs, graph Coloring,
Ramsay Theory: Applications, bounds on Ramsay number, Ramsay theory for integers, Graph Ramsay numbers.
Extremal graph theory: Minors, Hadwiger’s conjecture, Szemeredi’s regularity lemma and its application
Random graphs: Introduction, probabilistic method, threshold function.
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Learning Outcome
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Students will be accustomed to the basic graph and advanced topics in graph theory. They will be able to model different real-life problems using graph theory and also this course gives them basic foundation to do research in graph theory
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Assessment Method
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Quiz /Assignment/ Project / MSE / ESE
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Text Books:
- Algorithm Design By Jon Kleinberg, Éva Tardos, Pearson Education
- The Design of Approximation Algorithms By David P. Williamson, David B. Shmoys, Cambridge University Press
- Probability and Computing: Randomization and Probabilistic Techniques in Algorithms and Data Analysis By Michael Mitzenmacher, Eli Upfal , Cambridge University Press
Reference Books:
- Design and Analysis of Algorithms: A Contemporary Perspective By Sandeep Sen and Amit Kumar, Cambridge University Press
Algorithms By Sanjoy Dasgupta, Christos H. Papadimitriou, Umesh Virkumar Vazirani, McGraw-Hill Higher Education
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| 5. |
MA6102 |
Introduction to Algebraic D-modules ▼
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3 |
0 |
0 |
3 |
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Course Number
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MA6102 (DE)
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Course Credit
(L-T-P-C)
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3-0-0-3
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Course Title
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Introduction to algebraic D-modules
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Learning Mode
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Lectures
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Learning Objectives
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The goal of this course is to provide a fundamental knowledge of Weyl algebra and its properties. It is intended that the students become familiar with the main basic techniques and results of this area and become ready for research projects.
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Course Description
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This course will cover the theory of Weyl algebras, ring of differential operators and Jacobian conjecture. Further, Graded rings, filtered rings, Hilbert polynomial and Bernstein inequality will be discussed.
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Course Content
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(Review of Rings, Ideals, Homomorphism, Isomorphism, Vector spaces, Bases, Dimensions, Linear operators, Algebras, Subalgebras.)
Derivations on rings, Weyl algebras, Canonical forms, Generators and Relations, Degree of an Operator, Ideal structure, Positive characteristic, Ring of differential Operators, Jacobian Conjecture, Polynomial maps, Modules over the Weyl Algebra, D-module of an equation, Direct limit of modules.
Graded rings, Filtered rings, Graded algebra, Filtered modules, Induced filtration, Noetherian modules, Good filtration, Hilbert polynomial, dimension and multiplicity, Bernstein inequality.
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Learning Outcome
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Upon successful completion of this course students should:
1. recognise technical terms and appreciate some of the uses of Weyl algebra.
2. Demonstrate knowledge of the advanced language of algebraic D-modules and thus get access to the wide literature that uses it.
3. Use the algebraic technique of D-modules to solve the complicated analytic problems concerning invariant distributions.
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Assessment Method
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Quiz /Assignment/ Project / MSE / ESE
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Text Books:
- C. Coutinho, A primer of algebraic D-modules, London Mathematical Society, Student Text 33, 1995.
- Bernstein, Algebraic Theory of D-modules (Lecture notes), 2016.
- Braverman and T. Chmutova, Lectures on algebraic D-modules, 2016.
Reference Books:
- Rowen, Graduate algebra: noncommutative view, Graduate Studies in Mathematics, 91.
- Borel, J. Coates and S. Helgason, Algebraic D-Modules (Perspectives in Mathematics), Academic Press 1987.
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| 6. |
MA6103 |
Nonlinear Optimization ▼
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2 |
0 |
2 |
3 |
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Course Number
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MA6103 (DE)
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Course Credit
(L-T-P-C)
|
2-0-2-3
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Course Title
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Nonlinear Optimization
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Learning Mode
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Lectures and Labs
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Learning Objectives
|
The objective of the course is to train students about the modeling and solution of nonlinear programming problems and various algorithms to solve these problems. Moreover, several optimality conditions and duality models are also discussed.
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Course Description
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Nonlinear Optimization, as a basic subject for Master and PhD students, provides the basic knowledge of various types of optimality conditions for constrained and unconstrained nonlinear programming problems and different algorithms to solve these problems. Moreover, generalized convexity notions and duality models will be described. With its applications in several problems arising in economics, science and engineering.
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Course Content
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Convex Sets and Its Properties, Support and Separation Theorems, Convex Cones and Polar Cones, Polyhedral Cones, Cone of Tangents, Cone of Attainable Directions, Cone of Feasible Directions
Convex Functions: Definitions and Preliminary Results, Continuity and Directional Differentiability of Convex Functions, Differentiable Convex Functions and Properties
Quasiconvex Function, Pseudoconvex Functions, Characterization and Properties
Optimality Conditions for Unconstrained Minimization and Constrained Minimization Problems, Lagrange’s Multiplier Method, Inequality Constrained Problems, Constraint Qualifications, Saddle Point Optimality Criteria, KKT conditions, Mond Weir and Wolfe Duality.
Unimodal functions, Fibonacci search, Line search methods, Convergence of Generic Line Search Methods, Method of Steepest Descent, Conjugate gradient methods, Fletcher Reeves Method, Quasi-Newton Method, BFGS Method, Convergence Analysis for Quadratic functions; Interior point methods for inequality constrained optimization, Merit functions for Constrained Minimization, Logarithmic Barrier Function for Inequality Constraints, A basic Barrier-Function Algorithm.
Practice with software such as Python/MATLAB
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Learning Outcome
|
On successful completion of the course, students should be able to:
1. Understand the terminology and basic concepts of various kinds of nonlinear programming problems
2. model several dual models related to nonlinear programming problems
3. Develop the understanding of about different solution methods and algorithms to solve nonlinear Programing problems.
4. Apply and differentiate the need for and importance of various algorithms to solve nonlinear programing problems
5. Model and solve real-life problems using optimization algorithms
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Assessment Method
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Quiz /Assignment/ Project / MSE / ESE
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Text Books:
- S. Bazaraa, J. J. Jarvis and H. D. Sherali, E.K.P. Chong, S.H. Zak, An Introduction to Optimization, 3rd Edition, John Wiley, 2008.
- Nocedal and S. Write, Numerical Optimization, Springer Science, 1999
- K.P. Chong and S.H. Zak, An Introduction to Optimization, 3rd Edition, John Wiley, 2008.
Reference Books:
- Stephan Boyd and L. Vandenberghe, Convex Optimization, Cambridge University Press, 2009.
- L. Mangasarian, Nonlinear Programming, SIAM Classics in Applied Mathematics, 1969
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| 7. |
MA6104 |
Generative AI ▼
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2 |
0 |
2 |
3 |
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Course Number
|
MA6104 (DE)
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Course Credit
(L-T-P-C)
|
2-0-2-3
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Course Title
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Generative AI
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Learning Mode
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Lectures and Labs
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Learning Objectives
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1. Master various generative models including Autoencoders, GANs, Transformers, and Diffusion models for creative AI applications.
2. Understand advanced concepts in Generative AI such as graph neural networks, diffusion models, and the latest architectures to address real-world challenges.
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Course Description
|
The basic knowledge of deep learning is desirable for this course. This course will explore cutting-edge techniques in Generative AI, covering Autoencoders, GANs, Transformers, Diffusion models, and applications in graph data, alongside the latest advancements in the field.
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Course Outline
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Introduction to Generative AI: Autoencoder (AE), Variational AE, GAN, Types of GANs – Deep Convolutional GAN (DCGAN), Conditional GAN (cGAN), Wasserstein GAN (WGAN), Stacked GAN (StackGAN), Attention GAN, Picture to Picture GAN (Pix2Pix), Cyclic GAN.
Transformer Networks: Drawbacks of Recurrent Neural Networks, Self Attention, Transformers, Bidirectional Encoder Representation from Transformer (BERT), Generative pre-trained Transformer (GPT).
Diffusion models: Categories (DDPM, NCSN, SDE) of diffusion Model, Application of diffusion model in computer vision and medical imaging.
Generative AI for Graph: Basics of Graph Convolutional Neural Network (GCN), Graph Embeddings, Spectral and Spatial GCNs, Graph Autoencoders, GraphGAN, Graph Diffusion Model.
Some popular Architectures/concepts in Generative AI: Stable Diffusion, CLIP, DALL·E, ChatGPT, Self-supervised Learning, Knowledge Distillation, Model compression/Network Pruning, Explainable AI, etc.
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Learning Outcome
|
1. Acquire proficiency in implementing and training diverse generative models for image, text, and graph data generation.
2. Apply state-of-the-art techniques in Generative AI to tackle complex problems in computer vision, medical image analysis, natural language processing, and graph data analysis.
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Assessment Method
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Quiz /Assignment/ Project / MSE / ESE
|
Text Books:
- Dive into Deep Learning by Aston Zhang, Zachary C. Lipton, Mu Li, and Alexander J. Smola, Cambridge University Press, 2023.
- Deep Learning by Ian Goodfellow and Yoshua Bengio and Aaron Courville, MIT Press, 2016.
Reference Books:
- Various research papers at prestigious venues like NIPS, ICML, ICLR, CVPR etc.
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| 8. |
MA6105 |
Rings and Modules ▼
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3 |
0 |
0 |
3 |
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Course Number
|
MA6105 (DE)
|
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Course Credit
(L-T-P-C)
|
3-0-0-3
|
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Course Title
|
Rings and Modules
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Learning Mode
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Lectures
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Learning Objectives
|
Readers of this course will be well-equipped with basic concepts of Rings & Modules which are prerequisites to the courses on Fields and Galois Theory, Coding Theory, Cryptography, Homological Algebra, Noncommutative Algebra, Algebraic Geometry, and advanced courses on Analysis.
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Course Description
|
It gives a foundation for further studies in algebra by discussing several classes of rings and modules. This course includes structure theorems for modules over PID, Artinian and Noetherian rings and modules, and their radicals. Further, the concept of Tensor product, Projective and Injective Modules are also introduced.
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Course Content
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Modules, submodules, quotient modules and module homomorphisms, Generation of modules, direct sums and free modules, simple modules
Finitely generated modules over principal ideal domains.
Ascending Chain Condition and Descending Chain Condition, Artinian and Noetherian rings and modules, Hilbert basis theorem, Primary decomposition of ideals in Noetherian rings.
Radicals: Nil radical, Jacobson radical and prime radical, Localization of rings and modules.
Tensor products of modules; Exact sequences, Projective, injective and flat modules.
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Learning Outcome
|
On successful completion of the course, students should be able to:
1. Understand, apply and analyze the notion of rings, ideals, and modules in related concepts required for advanced courses and research in Algebra.
2. Familiar with the key properties and examples of Artinian and Noetherian rings and modules and their generalization;
3. Decide whether a given ring or module, or a class of rings or modules, is Noetherian/Artinian, by applying the characterizations discussed in the course;
4. Able to use this concept for research in Information Circuits (Coding Theory, Cryptography, Image Processing, etc.
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Assessment Method
|
Quiz /Assignment/ Project / MSE / ESE
|
Text Books:
- Musili, Introduction to Rings and Modules, Narosa Pub. House, New Delhi, Sec. Edition, 2001.
- A. Beachy, Introduction to Rings and Modules, London Math. Soc., Cam. Univ. Press, 2004.
- S. Dummit and R. M. Foote, Abstract Algebra, 2nd Ed., John Wiley, 2002.
Reference Books:
- Jacobson, Basic Algebra I and II, 2nd Ed., W. H. Freeman, 1985 and 1989.
- Lang, Algebra, 3rd Ed., Springer (India), 2004.
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| 9. |
MA6106 |
Large Language Models (LLMs) ▼
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2 |
0 |
2 |
3 |
|
Course Number
|
MA6106 (DE)
|
|
Course Credit
(L-T-P-C)
|
2-0-2-3
|
|
Course Title
|
Large Language Models (LLMs)
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Learning Mode
|
Lectures and Labs
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Learning Objectives
|
1. Master neural network architectures for time series analysis and natural language processing.
2. Understand advanced techniques in language modeling for text generation and understanding.
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Course Description
|
Explore neural networks for time series analysis, delve into advanced architectures like Transformers, BERT, and GPT, and examine emerging concepts in language models for text generation.
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Course Outline
|
Basics of ML/DL: Classification, Regression, Training, Testing, Model selection and over/underfitting, Performance parameters, Fully Connected Neural Networks (FCNN); Time series and Recurrent Neural Networks: Time Series, NLP, FCNN and its limitation with time series analysis, RNN, LSTM, GRU, Word2vec and Glove; Architecture of
Transformer Networks: Drawbacks of Recurrent Neural Networks, Self Attention, Transformers.
BERT the encoder of Transformer Network: The basic idea and working of BERT, masked language modeling, Next Sentence prediction, Tokenization, Fine-tuning BERT, Tiny BERT, DistilBERT, RoBERTa, ELECTRA, T5; GPT the decoder of Transformer Network: Generalized Pre-Training modeling and its Training, ChatGPT: Exploring Its Applications and Advancements, Prompt Engineering, Llama and making DocterGPT, Challenges and upcoming big issues.
Some popular models/pipelines/concepts in LLMs: Falcon, Gemini, Gemma, Lamda, Mistral, Retrieval Augmented Generation (RAG) pipeline, Hallucinations, Knowledge Graphs, Fine-tuning LLMs with LoRA and QloRA, Carbon Emissions and Large Neural Network Training, MiniLLM, Large Action Models, etc.
|
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Learning Outcome
|
1. Develop skills in implementing neural networks for time series forecasting and sentiment analysis.
2. Apply state-of-the-art techniques in language modeling to generate high-quality text outputs for various applications.
|
|
Assessment Method
|
Quiz /Assignment/ Project / MSE / ESE
|
|
Prerequisites
|
Linear algebra, Probability and Statistics
|
Text Books:
- Jay Alammar, Maarten Grootendorst, Hands-On Large Language Models: Language Understanding and Generation, O'Reilly Media.
- Denis Rothman, Transformers for Natural Language Processing: Build innovative deep neural network architectures for NLP with Python, PyTorch, TensorFlow, BERT, RoBERTa, and more, Packt.
- Denis Rothman , Transformers for Natural Language Processing and Computer Vision: Explore Generative AI and Large Language Models with Hugging Face, ChatGPT, GPT-4V, and DALL-E3, Packt.
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| 10. |
MA6107 |
Number Theory ▼
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3 |
0 |
0 |
3 |
|
Course Number
|
MA6107 (DE)
|
|
Course Credit
(L-T-P-C)
|
3-0-0-3
|
|
Course Title
|
Number Theory
|
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Learning Mode
|
Lectures
|
|
Learning Objectives
|
Readers of this course will be well-equipped with basic concepts of numbers, their properties, and some of the standard results that are fundamental to any branch of mathematics. The course will study further properties and some advanced concept which has a lot of applications in Cryptography.
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|
Course Description
|
This course introduces divisibility in integers and some knowledge of the arithmetic of congruences. In this course, we will discuss about the congruences, arithmetic functions and their applications. Further we will study two square, four square theorem and continued fractions.
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|
Course Content
|
(Review: Divisibility, Basic Algebra of Infinitude of primes, discussion of the Prime Number Theorem, infinitude of primes in specific arithmetic progressions, Dirichlet's theorem (without proof).)
Congruences and its properties, Structure of units modulo n, Binary and decimal representations of integers, linear congruences, Chinese remainder theorem, Fermat’s theorem, Wilson’s theorem, Fermat-Kraitchik factorization method, Number theoretic functions, Multiplicative function, Mobius inversion formula, Euler's phi function, Euler’s theorem, Properties of Phi-function (Gaus theorem), Primitive roots for primes, Composite numbers having primitive roots, Indices, Quadratic residues, Legendre symbol and their properties, Law of quadratic reciprocity, Numbers of special form, Nonlinear Diophantine equation, Pythagorean triple, Fermat's method of infinite descent, Fermat's two square theorem, Lagrange's four square theorem.
Continued fractions, Rational approximations, Transcendental numbers, Transcendence of "e" and "pi", Pell's equation.
|
|
Learning Outcome
|
On successful completion of the course, students should be able to:
1. Understand the importance of integers;
2. Understand other basic courses of mathematics, like Algebra, Topology, Calculus, Analysis, Geometry and Combinatorics;
|
|
Assessment Method
|
Quiz /Assignment/ Project / MSE / ESE
|
Text Books:
- David M. Burton, Elementary Number Theory, 6th Edition, McGrow Hill Higher Education, 2007.
- Thomas Koshy, Elementary Number Theory with Applications, 2nd Edition, Academic Press, 2007.
- Niven and H.S. Zuckerman, An Introduction to the Theory of Numbers, 5th Ed., Wiley, New York, 2008.
Reference Books:
- W. Adams and L.J. Goldstein, Introduction to the Theory of Numbers, 3rd ed., Wiley Eastern, 1972.
- Baker, A Concise Introduction to the Theory of Numbers, Cambridge University Press, Cambridge, 1984.
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| 11. |
MA6108 |
Stochastic Calculus for Finance ▼
|
3 |
0 |
0 |
3 |
|
Course Number
|
MA6108 (DE)
|
|
Course Credit
(L-T-P-C)
|
3-0-0-3
|
|
Course Title
|
Stochastic Calculus for Finance
|
|
Learning Mode
|
Lectures
|
|
Learning Objectives
|
In this subject, the students will be trained in approaches and concepts from stochastic calculus which are required to model as well as solve the problems in quantitative finance.
|
|
Course Description
|
This course explores the fundamentals of probability theory and various other mathematical concepts from stochastic calculus which is specifically relevant to the problems arising in mathematical finance, such as pricing of financial assets and financial derivatives.
|
|
Course Content
|
Probability spaces, filtrations, conditional expectations, martingales, stopping times; Markov process, Brownian motion; Stochastic differential equations; Ito process, Ito integral, Ito-Doeblin formula; Black-Scholes-Merton equation: derivation and solution; Risk-neutral valuation, risk-neutral measure, Girsanov's theorem, martingale representation theorem, fundamental theorems of asset pricing; Risk-neutral valuation of European, American and exotic derivatives; Greeks, implied volatility, volatility smile; Fixed income markets, interest rate models, pricing of fixed income securities, term structure; Forward rate models, Heath-Jarrow-Morton framework; Swaps, caps and floors and swap market models, LIBOR.
|
|
Learning Outcome
|
On successful completion of the course, students should be able to:
1. Understand the fundamentals of stochastic calculus.
2. Describe the concept of probability theory used in stochastic calculus
3. Comprehend and apply stochastic calculus in financial market problems, such as risk-neutral pricing and financial derivatives.
|
|
Assessment Method
|
Quiz /Assignment/ Project / MSE / ESE
|
Text Books:
- Gopinath Kallianpur, and Rajeeva L. Karandikar, Introduction to Option Pricing Theory, Birkhäuser, 2000
- Thomas Mikosh, Elementary Stochastic Calculus, with Finance in View, World Scientific, 1998.
References Books:
- Shreve, Stochastic Calculus for Finance, Vol. I, Springer, 2004.
- Shreve, Stochastic Calculus for Finance, Vol. II, Springer, 2004.
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