Convex Optimization: Fall 2016

Machine Learning 10-725
(cross-listed as Statistics 36-725)

Instructors:
Javier Peña (jfp at andrew dot cmu dot edu)
Ryan Tibshirani (ryantibs at cmu dot edu)

TAs:
Alnur Ali (alnurali at cmu dot edu)
Christoph Dann (cdann at cmu dot edu)
Sangwon Hyun (shyun at cmu dot edu)
Mariya Toneva (mariya at cmu dot edu)
Han Zhao (han.zhao at cs dot cmu dot edu)

Lecture times: Mondays and Wednesdays 1:30-2:50pm, Wean Hall 7500

Office hours:
JP: Tuesdays 4-5pm, Posner 380
RT: Mondays 3-4pm, Baker 229B
AA: Mondays 12-1pm, Gates 8009
CD: Thursdays 2-3pm, Gates 8013
SH: Wednesdays 3-4p, Porter 117
MT: Wednesdays 12-1pm, Gates 8010
HZ: Tuesdays 3-4pm, Gates 8229

Syllabus: here. Scribing: sign up, latex template. Discussions: Piazza group.


Go to:   Schedule | Assignments | Miscellaneous

Schedule

Here is the estimated class schedule. It is subject to change, depending on time and class interests.


Theory I: Fundamentals
Mon Aug 29 Introduction R Slides, notes, video
Wed Aug 31 Convexity I: Sets and functions R Slides, notes, video
Mon Sept 5 (Labor day, no class)
Wed Sept 7 Convexity II: Optimization basics R Slides, notes, video
Mon Sept 12 Canonical problem forms R Slides, notes, video Hw 1 due (Tues)
Algorithms I: First-order methods
Wed Sept 14 Gradient descent R
Mon Sept 19 Subgradients R
Wed Sept 21 Subgradient method R
Mon Sept 26 Proximal gradient descent, acceleration R
Wed Sept 28 Numerical linear algebra primer R Hw 2 and Milestone 1 due (Fri)
Theory II: Optimality and duality
Mon Oct 3 Duality in linear programs R
Wed Oct 5 Duality in general programs R
Mon Oct 10 KKT conditions R
Wed Oct 12 Duality uses and correspondences R Hw 3 due (Fri)
Mon Oct 17 Little test I Little test I
Algorithms II: Second-order methods
Wed Oct 19 Newton's method J
Mon Oct 24 Duality revisited J
Wed Oct 26 Barrier method J
Mon Oct 31 Primal-dual interior point methods J
Weds Nov 2 Proximal and projected Newton methods J Hw 4 due (Fri)
Applications
Mon Nov 7 Case studies: ??? R
Weds Nov 9 Case studies: ??? J Milestone 2 due (Fri)
Special topics
Mon Nov 14 Dual methods and ADMM R
Weds Nov 16 More ADMM R
Mon Nov 21 Coordinate descent J Hw 5 due (Tues)
Weds Nov 23 (Thanksgiving break, no class)
Mon Nov 28 Frank-Wolfe method J
Weds Nov 30 ??? J
Mon Dec 5 ??? J
Weds Dec 7 Little test II Little test II
??? COPTS conference COPTS conference

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Assignments

All assignments are to be turned in to Christoph Dann, by 5:30pm, in Gates 8013, unless specified otherwise. Top

Miscellaneous

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