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

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If you have a question about this talk, please contact Rachel Furner.

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.

This talk is part of the CCIMI Short course: First-order methods for large scale optimisation problems series.

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