Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
Scribd Logo
Upload

Welcome to Scribd!

  • 20 views

    Convex Optimization: Chapter 1 Introduction

    Uploaded by

    Muhammad Sohaib Shahid
    This document introduces convex optimization and discusses why it is studied and how to study it. It defines convex optimization as a subset of nonlinear optimization where problems have analytical solutions or efficient algorithms. It explains that convex optimization is a mature technology for problems like least squares and linear programming. In contrast, nonconvex problems are much harder to solve reliably. The document recommends recognizing and formulating convex optimization problems in order to take advantage of existing solution methods.

    Copyright:

    © All Rights Reserved
    Download as PPT, PDF, TXT or read online from Scribd

    Convex Optimization: Chapter 1 Introduction

    Uploaded by

    Muhammad Sohaib Shahid
    20 views26 pages
    This document introduces convex optimization and discusses why it is studied and how to study it. It defines convex optimization as a subset of nonlinear optimization where problems have analytical solutions or efficient algorithms. It explains that convex optimization is a mature technology for problems like least squares and linear programming. In contrast, nonconvex problems are much harder to solve reliably. The document recommends recognizing and formulating convex optimization problems in order to take advantage of existing solution methods.

    Original Description:

    cs

    Original Title

    cvxchap1

    Copyright

    © © All Rights Reserved

    Available Formats

    PPT, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    This document introduces convex optimization and discusses why it is studied and how to study it. It defines convex optimization as a subset of nonlinear optimization where problems have analytical solutions or efficient algorithms. It explains that convex optimization is a mature technology for problems like least squares and linear programming. In contrast, nonconvex problems are much harder to solve reliably. The document recommends recognizing and formulating convex optimization problems in order to take advantage of existing solution methods.

    Copyright:

    © All Rights Reserved
    Download as PPT, PDF, TXT or read online from Scribd
    Download as ppt, pdf, or txt
    20 views26 pages

    Convex Optimization: Chapter 1 Introduction

    Uploaded by

    Muhammad Sohaib Shahid
    This document introduces convex optimization and discusses why it is studied and how to study it. It defines convex optimization as a subset of nonlinear optimization where problems have analytical solutions or efficient algorithms. It explains that convex optimization is a mature technology for problems like least squares and linear programming. In contrast, nonconvex problems are much harder to solve reliably. The document recommends recognizing and formulating convex optimization problems in order to take advantage of existing solution methods.

    Copyright:

    © All Rights Reserved
    Download as PPT, PDF, TXT or read online from Scribd
    Download as ppt, pdf, or txt
    You are on page 1of 26

    Convex

    Optimization
    Chapter 1 Introduction
    What, Why and How
    What is convex optimization
    Why study convex optimization
    How to study convex optimization
    What is Convex Optimization?
    Mathematical Optimization

    Nonlinear Optimization

    Convex Optimization

    Least-squares LP
    Mathematical Optimization
    Convex Optimization
    Least-squares
    Analytical Solution of Least-
    squares

    f 0(x) = jjAx bjj22 = (Ax b)> (Ax b)

    @f 0 (x)
    @x = 2A > (Ax b) = 0

    x = (A > A) 1A >b
    Linear Programming (LP)
    Why Study Convex Optimization?
    Solving Optimization
    Problems
    Mathematical Optimization

    Nonlinear Optimization

    Convex Optimization

    Least-squares LP
    Mathematical Optimization

    Nonlinear Optimization

    Convex Optimization

    Least-squares LP

    Analytical solution
    Good algorithms and software
    High accuracy and high reliability
    Time complexity: C n 2 k

    A mature technology!
    Mathematical Optimization

    Nonlinear Optimization

    Convex Optimization

    Least-squares LP

    No analytical solution
    Algorithms and software
    Reliable and efficient
    Time complexity: C n 2 m

    Also a mature technology!


    Mathematical Optimization

    Nonlinear Optimization

    Convex Optimization

    Least-squares LP

    No analytical solution
    Algorithms and software
    Reliable and efficient
    Time complexity (roughly)
    max{n 3 , n 2 m, F }

    Almost a mature technology!


    Mathematical Optimization

    Nonlinear Optimization

    Convex Optimization

    Least-squares LP

    Sadly, no effective methods to solve


    Only approaches with some compromise
    Local optimization: more art than technology
    Global optimization: greatly compromised efficiency
    Help from convex optimization
    1) Initialization 2) Heuristics 3) Bounds

    Far from a technology! (something to avoid)


    Why Study Convex
    Optimization

    Ifnot,
    thereislittlechanceyoucansolveit.

    -- Section 1.3.2, p8, Convex Optimization


    How to Study Convex Optimization?
    Two Directions
    As potential users of convex optimization

    As researchers developing convex


    programming algorithms
    Recognizing least-squares
    problems
    Straightforward: verify
    the objective to be a quadratic function
    the quadratic form is positive semidefinite
    Standard techniques increase flexibility
    Weighted least-squares

    Regularized least-squares
    Recognizing LP problems

    Example: ti = jr i j
    Sum of residuals approximation

    Chebyshev or minimax approximation

    t = maxi ja>
    i x bi j
    Recognizing Convex
    Optimization Problems
    An Example
    10
    Adding Cm linear constraints?????
    P 10 1
    P m
    p
    k =1 j k
    2
    p
    j =1 j 8f j 1; j 2; ; j 10g
    Summary
    From the book, we expect to learn
    To recognize convex optimization problems
    To formulate convex optimization problems
    To (know what can) solve them!

    You might also like