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Department of Statistics

Convex Optimisation

Organisers

Tom Berrett and Yi Yu

Time

1-2pm on Thursdays in Term 1, 2022-23, starting from 13 Oct.

Venue

Term 1: Room MB2.22 (2nd floor, MSB)

Term 2: Room MB2.23 (2nd floor, MSB)

Format

In-person

Convex optimisation reading group

Materials

Lecture notes from Cambridge

  1. Introduction (Presenter: Fan Wang. Date: 13 Oct.)
  2. Review of convexity (Part 1. Presenter: Zilong Xie. Date: 20 Oct. Part 2. Presenter: Mengchu Li. Date: 27 Oct.)
  3. Gradient method (Presenter: Mengchu Li. Date: 27 Oct.)
  4. Lower complexity bounds (Presenter: Guglielmo Gattiglio. Date: 3 Nov)
  5. Fast gradient method (Presenter: Alexander Kent. Date: 10 Nov)
  6. Subgradients (Presenter: Alberto Bordino. Date: 17 Nov)
  7. Subgradients method (Presenter: Shiqi Liu. Date: 24 Nov)
  8. Constrained optimisation and duality (Presenter: Rui Feng. Date: 1 Dec)
  9. Duality and KKT conditions (Presenter: Gengyu Xue. Date: 8 Dec)
  10. Projections and projected (sub)gradient methods (Presenter: Shiqi Liu. Date: 19 Jan)
  11. Proximal methods (Presenter: Alberto Bordino. Date: 26 Jan)
  12. Bregman proximal methods (Presenter: Alexander Kent. Date: 2 Feb)
  13. Dual methods (Presenter: Tom Berrett. Date: 9 Feb)
  14. ADMM (Presenter: Mengchu Li. Date: 16 Feb)
  15. Douglas--Rachford (Presenter: Zilong Xie. Date 23 Feb)
  16. Newton's method (1) (2) (Presenter: Rui Feng. Date: 2 Mar)
  17. Conic programming (Presenter: Gengyu Xue. Date: 9 Mar)
  18. SDP (Presenter: Fan Wang. Date: 16 Mar)
  19. Duality in conic programming (1) (2)

(Subject to change.)

References