Lecture: Continue On Unconstrained Minimization

Description

Lecture Description

Continue On Unconstrained Minimization, Self-Concordance, Convergence Analysis For Self-Concordant Functions, Implementation, Example Of Dense Newton System With Structure, Equality Constrained Minimization, Eliminating Equality Constraints, Newton Step, Newton's Method With Equality Constraints

Course Description

Concentrates on recognizing and solving convex optimization problems that arise in engineering.

Topics include: 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. Interiorpoint methods. Applications to signal processing, control, digital and analog circuit design, computational geometry, statistics, and mechanical engineering.

Prerequisites: Good knowledge of linear algebra. Exposure to numerical computing, optimization, and application fields helpful but not required; the engineering applications will be kept basic and simple.

from course: Convex Optimization I