Convex optimization

Undergraduate course, Ecole des Ponts, 2A, 2022

This is a 4th year course about continuous (mainly convex) optimization.

The course is in two part:

  • Optimization under uncertainty through dynamic programming: 2 class and a project over the semester
  • Continuous optimization in three part
    • convex analysis and optimization theory (4 classes)
    • classical algorithms (3 classes)
    • more advanced materials (3 classes)

Documents

Timeline

01/03/24 - Markov chain and Dynamic Programming

slides Exercises

08/03/24 - Dynamic Programming in infinite horizon

slides Hands on (pdf) Hands on (notebook)

15/03/24 - Convex analysis 1

slides Exercises

22/03/24 - Convex analysis 2

slides Exercises

29/03/24 - Optimality conditions

slides Exercises

12/04/24 - Duality

slides Exercises

26/04/24 - Algorithm’s zoology

slides Exercises

03/05/24 - Gradient and Newton’s algorithms

slides slides

17/05/24 - Practical work on algorithms

Hands on (notebook)

24/05/24 - Constrained optimization

slides

31/05/24 - Interior points methods

slides Hands on (notebook)

07/06/24 - Stochastic Gradient

slides

14/06/24 - Exam