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] (Class begins at 1 pm) Term paper presentation
- [Dec. 18] No class (final week)