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Fall 2019

IC667: Convex Optimization (Fall 2019)


Instructor:
Kyung-Joon Park (kjp@, x6314, and E3-513)
Office hours: Right after class or by appointment

Class hour and classroom:
MW 13:30-15:00 pm, E3-113

Textbooks: Convex Optimization by Stephen Boyd and Lieven Vandenberghe (http://www.stanford.edu/~boyd/cvxbook/)

Additional materials:
Convex Optimization: Fall 2018 ( http://www.stat.cmu.edu/~ryantibs/convexopt-F18/ )
모두를 위한 컨벡스 최적화 (https://wikidocs.net/book/1896)
Convex optimization prerequisites review, by Nicole Rafidi (http://www.stat.cmu.edu/~ryantibs/convexopt-F18/prerequisite_topics.pdf)

Course Description:
This course builds the ability of recognizing and solving convex optimization problems that arise in applications.
Contents

  • Convex sets, functions, and optimization problems 
  • Basics of convex analysis
  • Least-squares, linear and quadratic programs, semidefinite programming, minimax, extremal volume, and other problems 
  • Optimality conditions, duality theory, theorems of alternative, and applications. Interior-point methods 
  • Applications to signal processing, statistics and machine learning, control and mechanical engineering, digital and analog circuit design, and finance

Grading policies:
Homework 20%, Midterm exam 40%, Term paper and presentation 40%

Announcement:

Lectures (tentative):

  • [Sep. 2] Introduction
  • [Sep. 4] Convex sets
  • [Sep. 9] Convex sets
  • [Sep. 11] No class (DGIST 창립기념일)
  • [Sep. 16] Convex functions
  • [Sep. 18] No class
  • [Sep. 23] Convex functions
  • [Sep. 25] Convex optimization problems
  • [Sep. 30] Convex optimization problems
  • [Oct. 2] Convex optimization problems (Class begins at 1 pm!)
  • [Oct. 7] Convex optimization problems
  • [Oct. 9] No class (한글날)
  • [Oct. 14] Duality
  • [Oct. 16] Duality
  • [Oct. 21] Midterm exam (E7 233호)
  • [Oct. 23] No class (midterm week)
  • [Oct. 28] KKT conditions
  • [Oct. 30] Duality uses and correspondences
  • [Nov. 4] Gradient descent
  • [Nov. 6] Subgradients
  • [Nov. 11] Subgradient method
  • [Nov. 13] Proximal gradient descent
  • [Nov. 18] Stochastic gradient descent & Newton's method
  • [Nov. 20] No class
  • [Nov. 25] Barrier method
  • [Nov. 27] Primal-dual interior-point methods
  • [Dec. 2] (Class begins at 1 pm) Term paper presentation
  • [Dec. 4] No class (IEEE RTSS 2019)
  • [Dec. 9] (Class begins at 1 pm) Term paper presentation
  • [Dec. 11] (Class begins at 1 pm) Term paper presentation
  • [Dec. 16] Term paper presentation
  • [Dec. 18] No class (final week)
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Page last modified on November 17, 2019, at 10:41 PM EST