| Instructor | Kuan Yang & Bo jiang |
|---|---|
| Lecture times | Monday 16:00 - 17:40 (Week 1 - 16) Thursday 10:00 - 11:40 (Even weeks) |
| Location | Upper Hall 104 (上院 104) |
| Teaching assistant(s) | Yanheng He (何彦衡) & Ziyi Xu (徐子绎) |
| 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)
Lectures on Convex Optimization by Yurii Nesterov, Springer.
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 |
|---|---|---|---|---|
| 2 | 09/23 (Mon.) | Introductory examples | Lecture 01 / pdf | |
| 09/26 (Thurs.) | Optimality condition, review of analysis | Lecture 02 / pdf | ||
| 3 | 09/30 (Mon.) | Convex sets | Lecture 03 / pdf | |
| 4 | 10/10 (Thurs.) | Separating hyperplane | Lecture 04 / pdf | |
| 10/12 (Mon.) | Convex functions | Lecture 05 / pdf | ||
| 5 | 10/14 (Mon.) | Convex functions (cont'd) | Lecture 06 / pdf | |
| 6 | 10/21 (Mon.) | Linear programming | Lecture 07 / pdf | |
| 10/24 (Thurs.) | LP duality and applications | Lecture 08 / pdf | ||
| 7 | 10/28 (Mon.) | Unconstrained optimization, gradient descent method | Lecture 09 / pdf | |
| 8 | 11/04 (Mon.) | Analysis of gradient descent, smoothness and strong convexity | Lecture 10 / pdf | |
| 11/07 (Thurs.) | Newton's method | Lecture 11 / pdf | ||
| 9 | 11/11 (Mon.) | Proximal gradient descent | Lecture 12 / pdf | |
| 10 | 11/18 (Mon.) | Lagrange multiplier method | Lecture 13 / pdf | |
| 11/21 (Thurs.) | Lagrange multiplier method (cont'd) | Lecture 14 / pdf | ||
| 11 | 11/25 (Mon.) | Newton's method and KKT system | Lecture 15 / pdf | |
| 12 | 12/02 (Mon.) | Inner point and barrier methods | Lecture 16 / pdf | |
| 12/05 (Thurs.) | KKT condition | Lecture 17 / pdf | ||
| 13 | 12/09 (Mon.) | Projected gradient descent | Lecture 18 / pdf | |
| 14 | 12/16 (Mon.) | Lagrange dual function and problem | Lecture 19 / pdf | |
| 12/19 (Thurs.) | Strong duality and Slater's condition | Lecture 20 / pdf | ||
| 15 | 12/23 (Mon.) | Bregman divergence | Lecture 21 / pdf | |
| 16 | 12/30 (Mon.) | Mirror descent | Lecture 22 / pdf | |
| 01/02 (Thurs.) | Review and summary | Lecture 23 / pdf |