| Instructor | Kuan Yang |
|---|---|
| Lecture times | Friday 16:00 - 17:40 (Week 1 - 16) Wednesday 8:00 - 9:40 (Even weeks) |
| Location | Upper Hall 201 (上院 201) |
| Teaching assistant(s) | Yao Xu (徐遥) |
| Office hours | To be determined |
Convex Optimization by Stephen Boyd and Lieven Vandenberghe, Cambridge University Press
An Introduction to Optimization by Edwin K. P. Chong and Stanislaw H. Żak, Wiley.
(中文翻译版：最优化导论（第四版），电子工业出版社)
Large-Scale Optimization for Data Science at Princeton
Convex Optimization at CMU
Unconstrained problem
Equality constrained problem
Inequality constrained problem
| Week | Date | Topics | Lecture notes | Homework |
|---|---|---|---|---|
| 1 | 09/15 (Fri.) | Introductory examples | Lecture 01 / pdf | |
| 2 | 09/20 (Wed.) | Optimality condition, review of analysis | Lecture 02 / pdf | |
| 09/22 (Fri.) | Affinity (linearity) and convexity | Lecture 03 / pdf | HW1 | |
| 4 | 10/08 (Fri.) | Separating hyperplane theorem, supporting hyperplane theorem | ||
| 5 | 10/13 (Fri.) | Convex functions | ||
| 6 | 10/18 (Wed.) | Convex functions (cont'd) | ||
| 10/20 (Fri.) | Linear programming | |||
| 7 | 10/27 (Fri.) | LP duality and applications | ||
| 8 | 11/01 (Wed.) | Unconstrained optimization, gradient descent method | ||
| 11/03 (Fri.) | Analysis of gradient descent, smoothness and strong convexity | |||
| 9 | 11/10 (Fri.) | Condition number, line search | ||
| 10 | 11/15 (Wed.) | Newton's method | ||
| 11/17 (Fri.) | Proximal gradient descent | |||
| 11 | 11/24 (Fri.) | Lagrange multiplier method | ||
| 12 | 11/29 (Wed.) | Lagrange multiplier method (cont'd) | ||
| 12/01 (Fri.) | Newton's method and KKT system | |||
| 13 | 12/08 (Fri.) | KKT condition | ||
| 14 | 12/13 (Wed.) | Lagrangian and dual function | ||
| 12/15 (Fri.) | Dual problem and duality | |||
| 15 | 12/22 (Fri.) | Strong duality and Slater's condition | ||
| 16 | 12/27 (Wed.) | Projected gradient descent | ||
| 12/29 (Fri.) | Review and summary | Course summary |