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CCIMI Seminars

First-order methods for large scale optimisation problems – Convex analysis

With Stephen Becker, University of Colorado

First-order methods for large scale optimisation problems – Convex analysis

Part of the CCIMI short course ‘First-order methods for large scale optimisation problems’

Instructor: Stephen Becker, University of Colorado

Lecture 1: Convex analysis
We introduce optimization with a few examples, and classify problems and discuss oracle models, then discuss convexity and differentiability. Basic analysis concepts will be reviewed as needed. Topics include: types of convexity, proximity operators, Fenchel-Legendre conjugates, convex relaxations, Moreau envelope, subgradients, Lipschitz continuity, and fundamental inequalities. There will be an interlude on programming using cvx or cvxpy (Matlab or Python, respectively) and verifying gradients, so bring a laptop.

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