Continuous optimization

MATH-329

Media

This file is part of the content downloaded from Continuous optimization.

A few words about homework in this course:

o Form groups of three on Moodle before lecture in week 2 if you have preferences, and we will propose random assignments to complete groups where needed.

o HW is done in groups, but I highly recommend that you all learn all aspects of the assignments.

o Expect 4 homework problems.

o You get ~3 weeks for each. They are a lot of work: get to them early.

o First one distributed in week 2.

First lecture: intro to the course, then most of Chapters 1 and 2 from the lecture notes. Except for applications and things that have to do with second-order derivatives (Hessians), consider that everything else in those chapters that we have not talked about yet is part of general background that you should be (or become) comfortable with (especially multivariate calculus and linear algebra).

Break

28 October - 3 November

4 November - 10 November

11 November - 17 November

18 November - 24 November

25 November - 1 December

2 December - 9 December

9 December - 15 December

This week, we consider a few different optimization software packages for Matlab. The lecture is an interactive software demo, and the exercise session gives you a chance to explore that software.

If you want to try things out for yourself during lecture, it's useful if you install the following ahead of time:

CVX: http://cvxr.com/cvx/download/ : unzip then run cvx_setup

Manopt: https://www.manopt.org/downloads.html : unzip then run importmanopt

Example scripts are below.

16 December - 20 December

Basics of semidefinite programming, and illustration with Max-Cut.