Convex Optimization: Fall 2019

Machine Learning 10-725

Instructor: Ryan Tibshirani (ryantibs at cmu dot edu)

Important note: please direct emails on all course related matters to the Education Associate, not the Instructor. The subject line of all emails should begin with "[10-725]".

Education Associate: Daniel Bird (dpbird at andrew dot cmu dot edu)

Chen Dan (cdan at andrew dot cmu dot edu)
William Guss (whg at andrew dot cmu dot edu)
Aaron Rumack (arumack at andrew dot cmu dot edu)
Po-Wei Wang (poweiw at andrew dot cmu dot edu)
Lingxiao Zhao (lingxia1 at andrew dot cmu dot edu)

Lecture times: Mondays and Wednesdays 1:30-2:50pm, Baker Hall A51

Office hours:
RT: Wednesdays 3:00pm-4:00pm, Baker 229B
CD: Tuesdays 2:00pm-3:00pm
WG: Wednesdays 12:15pm-1:15pm
AR: Thursdays 10:00am-11:00am
PW: Mondays 3:00pm-4:00pm

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

Go to:   Schedule | Homework | Review aids


Theory I: Fundamentals
Mon Aug 26 Introduction Slides
Wed Aug 28 Convexity I: Sets and functions Slides (Scribed notes)
Mon Sept 2 (Labor day, no class)
Wed Sept 4 Convexity II: Optimization basics Slides (Scribed notes)
Mon Sept 9 Canonical problem forms Slides (Scribed notes) Hw 1 due Fri Sept 13
Algorithms I: First-order methods
Wed Sept 11 Gradient descent Slides (Scribed notes)
Mon Sept 16 Subgradients Slides (Scribed notes)
Wed Sept 18 Subgradient method Slides (Scribed notes)
Mon Sept 23 Proximal gradient descent Slides (Scribed notes)
Wed Sept 25 Stochastic gradient descent Slides (Scribed notes) Hw 2 due Fri Sept 27
Theory II: Duality and optimality
Mon Sept 30 Duality in linear programs Slides (Scribed notes)
Wed Oct 2 Duality in general programs Slides (Scribed notes)
Mon Oct 7 KKT conditions Slides (Scribed notes)
Wed Oct 9 Duality uses and correspondences Slides (Scribed notes) Hw 3 due Fri Oct 11
Algorithms II: Second-order methods
Mon Oct 14 Newton's method Slides (Scribed notes)
Wed Oct 16 Barrier method Slides (Scribed notes)
Mon Oct 21 Primal-dual interior-point methods Slides (Scribed notes)
Wed Oct 23 Quasi-Newton methods Slides (Scribed notes) Hw 4 due Fri Oct 25
Advanced topics
Mon Oct 28 Numerical linear algebra Slides (Scribed notes)
Wed Oct 30 Coordinate descent Slides (Scribed notes)
Mon Nov 4 Dual decomposition Slides (Scribed notes)
Weds Nov 6 Alternating direction method of multipliers Slides (Scribed notes)
Mon Nov 11 Frank-Wolfe method Slides (Scribed notes)
Wed Nov 13 Modern stochastic methods Slides (Scribed notes) Hw 5 due Fri Nov 15
Mon Nov 18 First-order nonconvex optimization (Yuanzhi Li) Slides (Scribed notes)
Wed Nov 20 Bregman proximal methods (Javier Pena) Slides (Scribed notes)
Mon Nov 25 (Thanksgiving break, no class)
Wed Nov 27 (Thanksgiving break, no class)
Mon Dec 2 Review Algorithms table Hw 6 due Fri Dec 6
Wed Dec 4 Little test Practice test Little test




Review aids