First-order methods for large scale optimisation problems – Convex optimization problems and optimality

With Stephen Becker, University of Colorado

First-order methods for large scale optimisation problems – Convex optimization problems and optimality

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

Instructor: Stephen Becker, University of Colorado

Lecture 2: Convex optimization problems and optimality
Convex optimization problems are defined, and classical structured problems (LP, SOCP , SDP) are introduced. Topics include: duality, optimality, KKT conditions, sensitivity, strong duality, Slater’s conditions and other constraint qualifications, and degeneracy. There will be an interlude discussing example problems from machine learning, compressed sensing, and other fields.

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