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 2-3:30pm, Posner 380
RT: Wednesday 3-4pm, Baker 229B
AA: Mondays 12-1pm, Gates 8009
CD: Thursdays 1:30-2:30pm, Gates 8013
SH: Mondays 3-4pm, Porter 117
MT: Wednesdays 12-1pm, Gates 8010
HZ: Tuesdays 2-3pm, 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 Quiz Scribe
Wed Aug 31 Convexity I: Sets and functions R Slides, notes, video Quiz Scribe
Mon Sept 5 (Labor day, no class)
Wed Sept 7 Convexity II: Optimization basics R Slides, notes, video Quiz Scribe
Mon Sept 12 Canonical problem forms R Slides, notes, video Quiz Scribe Hw 1 due (Tues)
Algorithms I: First-order methods
Wed Sept 14 Gradient descent R Slides, notes, video Quiz Scribe
Mon Sept 19 Subgradients R Slides, notes, video Quiz Scribe
Wed Sept 21 Subgradient method R Slides, notes, video Quiz Scribe
Mon Sept 26 Proximal gradient descent and acceleration R Slides, notes, video Quiz Scribe
Wed Sept 28 Proximal gradient descent and acceleration (cont'd) R Slides, notes, video Quiz Scribe Milestone 1 due (Fri)
Theory II: Optimality and duality
Mon Oct 3 Duality in linear programs R Slides, notes, video Quiz Scribe Hw 2 due (Mon)
Wed Oct 5 Duality in general programs R Slides, notes, video Quiz Scribe
Mon Oct 10 KKT conditions R Slides, notes, video Quiz Scribe
Wed Oct 12 Duality uses and correspondences R Slides, notes, video Quiz Scribe 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 Slides, notes, video Quiz Scribe
Mon Oct 24 Barrier method J Slides, notes, video Quiz Scribe Scribe
Wed Oct 26 Duality revisited J Slides, notes, video Quiz Scribe
Mon Oct 31 Primal-dual interior point methods J Slides, notes, video Quiz Scribe
Weds Nov 2 Quasi-Newton methods J Slides, notes, video Quiz Scribe Hw 4 due (Fri)
Special topics
Mon Nov 7 Proximal Newton method R Slides, notes, video Quiz Scribe
Weds Nov 9 Dual methods R Slides, notes, video Quiz Scribe Milestone 2 due (Fri)
Mon Nov 14 Alternating direction method of multipliers R Slides, notes, video Quiz Scribe
Weds Nov 16 Frank-Wolfe method J Slides, notes, video Quiz Scribe
Mon Nov 21 Coordinate descent R Slides, notes, video Quiz Scribe Hw 5 due (Tues)
Weds Nov 23 (Thanksgiving break, no class)
Mon Nov 28 Mixed integer programming, part I J Slides, notes, video Quiz Scribe
Weds Nov 30 Mixed integer programming, part II J Slides, notes, video Quiz Scribe
Mon Dec 5 Nonconvex? No problem! R Slides, notes,
Weds Dec 7 Little test II Little test II
Tues Dec 13, 5:30-8:30pm COPTS conference Project presentation (Tues), report due (Thurs)

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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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