Convex and Conic Optimization

Spring 2016, Princeton University (graduate course)

(This is the Spring 2016 version of this course. For the Spring 2017 version click here. For the Spring 2015 version click here.)

Useful links

• Course description
• Blackboard
• Piazza (used only for Q&A - you should sign in to Piazza via Blackboard)
• Download MATLAB
• Download CVX
• Download YALMIP

References

• A. Ben-Tal and A. Nemirovski, Lecture Notes on Modern Convex Optimization [link]
• S. Boyd and L. Vandenberghe, Convex Optimization [link]
• M. Laurent and F. Vallentin, Semidefinite Optimization [link]
• R. Vanderbei, Linear Programming and Extentions [link]

Lectures

The lecture notes below summarize most of what I cover on the whiteboard during class. Please complement them with your own notes.  Some lectures take one class session to cover, some others take two.

aaa: Notes by Amir Ali Ahmadi.
gh:  Notes scribed by Georgina Hall (in LaTeX).

• Lecture 1: A taste of P and NP: scheduling on Doodle + maximum cliques and the Shannon capacity of a graph.
  [ pdf ], [ppt]
   
• Lecture 2: Mathematical background.
  aaa [ pdf ], gh [ pdf ]
   
• Lecture 3: Local and global minima, optimality conditions, AMGM inequality, least squares.
  aaa [ pdf ], gh [ pdf ]
   
• Lecture 4: Convex sets and functions, epigraphs, quasiconvex functions, convex hullls, Caratheodory's theorem, convex optimization problems.
  aaa c [ pdf ], gh [ pdf ]
   
• Lecture 5: Separating hyperplane theorems, the Farkas lemma, and strong duality of linear programming.
  aaa [ pdf ] , gh [ pdf ]
   
• Lecture 6: Bipartite matching, minimum vetex cover, Konig's theorem, totally unimodular matrices and integral polyhedra.
  aaa [ pdf ] , gh [ pdf ]
   
• Lecture 7: Characterizations of convex functions, strict and strong convexity, optimality conditions for convex problems.
  aaa [ pdf ], gh [ pdf ]
   
• Lecture 8: Convexity-preserving rules, convex envelopes, support vector machines.
  aaa [ pdf ], gh [ pdf ]
   
• Lecture 9: LP, QP, QCQP, SOCP, SDP.
  aaa [ pdf ], gh [ pdf ]
   
• Lecture 10: Some applications of SDP in dynamical systems and eigenvalue optimization.
  aaa [ pdf ], gh [ pdf ]
   
• Lecture 11: Some applications of SDP in combinatorial optimization: stable sets, the Lovasz theta function, and Shannon capacity of graphs.
  aaa [ pdf ], gh [ pdf ]
   
• Lecture 12: Nonconvex quadratic optimization and its SDP relaxation, the S-Lemma.
  aaa [ pdf ], gh [ pdf ]
   
• Lecture 13: Computational complexity in numerical optimization.
  [ pdf ]
   
• Lecture 14: Complexity of local optimization, the Motzkin-Straus theorem, matrix copositivity.
  aaa [ pdf ], gh [ pdf ]
   
• Lecture 15: Sum of squares programming and relaxations for polynomial optimization.
  [ pdf ]
  [ YALMIP_Demos ]
   
• Lecture 16: Robust optimization.
  aaa [ pdf ], gh [ pdf ]
   
• Lecture 17: Kernels, random embeddings, and deep learning (William Pierson Field lecture by Dr. Vikas Sindhwani, Google Research)
  [ pdf ]
   
• Lecture 18: Convex relaxations for NP-hard problems with worst-case approximation guarantees.
  aaa [ pdf ], gh [ pdf ]
   
• Lecture 19: Approximation algorithms (ctnd.), limits of computation, concluding remarks.
  [ pdf ]

Problem sets and exams

• Homework 1: Image compression and SVD, matrix norms, optimality conditions.
  [pdf], [nash.jpg]
   
• Homework 2: Convex analysis, symmetries and convex optimization, distance between convex sets, containment among polytopes.
  [pdf]
   
• Practice midterm. (From Spring 2015.)
  [pdf]
   
• Midterm 1.
  [pdf]
   
• Homework 3. Radiation treatment planning, norms defined by convex sets, optimization over permutation matrices, totally unimodularity and integrality of polytopes.
  [pdf], [treatment_planning_data.m]
   
• Homework 4: Nuclear norm and SDP + distance geometry + stability of a matrix family.
  [pdf]
   
• Homework 5: The Lovasz sandwich theorem, SDP and LP relaxations for stable set, Shannon capacity, Nash equilibria of bimatrix games.
  [pdf], [Graph.mat]
   
• Midterm 2.
  [pdf]
   
• Homework 6: NP-hardness of testing compactness of basic semialgebraic sets, equivalence of search and decision, SOS relaxation, decomposing hearts again.
  [pdf]
   
• Final exam.
  [pdf], [Circledraw.m], [princetoncampus]