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EE227A -- Convex Optimization SYLLABUS

EE227A
EE227A
FAQ SYLLABUS RESOURCES PROJECTS

CONVEX OPTIMIZATION -- SPRING 2013

SYLLABUS
1.[22/01]Introductiontooptimization 2.[24/01]Convexsetsandfunctions 3.[29/01]Convexfunctionsinmoredetail 4.[31/01]Subdifferentials 5.[05/02]Optimizationproblems 6.[07/02]Optimizationproblems 7.[12/02]Cancelled 8.[14/02]Weakduality,sdpexample 9.[19/02]QuizRevision 10.[21/02]Lagrangians,strongduality,minimax,Slemma 11.[26/02]Conicdualityoptimalityconditions 12.[28/02]Subgradientmethods 13.[05/03]Gradientmethods 14.[07/03]Acceleratedgradientsmirrordescent 15.[12/03]Proximalmethods,mirrorprox 16.[14/03]Monotoneoperators 17.[19/03]Incremental,stochastic 18.[21/03]Midterm 19.[02/04]Coordinatedescent,stochasticCD 20.[04/04]Dualdecomposition,ADMM 21.[09/04]Parallel,otherdistributedmethods 22.[11/04]RobustLPs,robustQPs,SDPs 23.[16/04]Chanceconstraints 24.[18/04]Derivativefreeoptimization 25.[23/04]Complexitytheoryofconvex 26.[25/04]Interiorpointmethods 27.[30/04]Convexalgebraicgeometry 28.[02/05]Review

LECTURES
LECTURE 1 LECTURE 2 LECTURE 3 LECTURE 4 LECTURE 5 LECTURE 6 LECTURE 7

1. [22/01] INTRODUCTION TO OPTIMIZATION

Courseorganizationdetails Homeworks,homeworkrules Quizzes Project aimistostriveforpublication Nonlinearprogrammingmodels ExampleofwhynonconvexproblemsareNPHard(Ilikeshowingsubsetsumproblemasillustration) Examplesofcommonoptimizationproblems(Leastsquares,linearprogramming,SDPs) Historyofconvexanalysis,andoptimization Someremarksonapplications Courseobjectivesare: learnbasicsofconvexanalysis formulatingproblemsasconvexoptimization algorithmsforconvexoptimization Minihomework:DownloadandinstallCVXsoftware

2. [24/01] CONVEX SETS AND FUNCTIONS

Somelinearalgebrareview Convexsets Operationspreservingconvexity Definitionofconvexfunctions Firstorder,andsecondordercharacterization Pointwisesupoff(xalpha)overalphainA Pointwiseinfoff(x,y) nontrivial

3. [29/01] CONVEX FUNCTIONS IN MORE DETAIL

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Norms

EE227A -- Convex Optimization SYLLABUS

Mixednorms,groupnorms,structurednorms Matrixnorms,NPHardnessofcomputingthem Fenchelconjugates Logconvex,logconcave Gammafunction,specialfunctions Exponentialconvexity,Bernsteintheorem Operatorconvexfunctions Maybesomethingelseiftimepermits

4. [31/01] SUBDIFFERENTIALS
Fenchelconjugates Subgradients Subdifferentialcalculus Epsilonsubdifferentials

5. [05/02] OPTIMIZATION PROBLEMS

Convexmodels Basicoptimalityconditions

6. [07/02] OPTIMIZATION PROBLEMS

coneprograms socprepresentations,sdprepresentations

7. [12/02] CANCELLED 8. [14/02] WEAK DUALITY, SDP EXAMPLE

Laurent'slectureactually

9. [19/02] QUIZ; REVISION

Nothing

10. [21/02] LAGRANGIANS, STRONG DUALITY, MINIMAX, SLEMMA 11. [26/02] CONIC DUALITY; OPTIMALITY CONDITIONS 12. [28/02] SUBGRADIENT METHODS
ordinarysubgradientmethod rateofconvergenceanalysis hintsonlowerbound bundle,cuttingplane,spectralbundle sparsesubgrads,blackbox subgradmirrordescentversion?

13. [05/03] GRADIENT METHODS

gradientdescent BBmethod CG,FW,GP Generalfeasibledirection Importanceoflinesearch Spectralprojectedgrad Importanceofprojections

14. 15. 16. 17.

[07/03] [12/03] [14/03] [19/03]

ACCELERATED GRADIENTS; MIRROR DESCENT PROXIMAL METHODS, MIRROR PROX MONOTONE OPERATORS INCREMENTAL, STOCHASTIC

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EE227A -- Convex Optimization SYLLABUS

18. 19. 20. 21. 22. 23. 24. 25. 26. 27. 28.

[21/03] [02/04] [04/04] [09/04] [11/04] [16/04] [18/04] [23/04] [25/04] [30/04] [02/05]

MIDTERM COORDINATE DESCENT, STOCHASTIC CD DUAL DECOMPOSITION, ADMM PARALLEL, OTHER DISTRIBUTED METHODS ROBUST LPS, ROBUST QPS, SDPS CHANCE CONSTRAINTS DERIVATIVE FREE OPTIMIZATION COMPLEXITY THEORY OF CONVEX INTERIOR POINT METHODS CONVEX ALGEBRAIC GEOMETRY REVIEW

Date:20130225Mon Author:suvrit Orgversion7.8.11withEmacsversion24 ValidateXHTML1.0

2013 SUVRIT SRA

TemplatedesignbyAndreasViklund

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