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
- Handout slides
- Reference book [BV] in the slides
- DM 24- with answers
- DM 24
- DS 23- with answers
- DM 23
- DM 22- with answers
- DS 22- with answers
- DM 21- with answers
- DS 21- with answers
Timeline
13/02/26 - Numerical Linear Algebra
20/02/26 - Convex analysis 1
27/02/26 - Convex analysis 2
13/03/26 - Optimality conditions
20/03/26 - Duality
03/04/26 - Algorithm’s zoology
17/04/26 - Gradient and Newton’s algorithms
24/04/26 - Practical work on algorithms
22/05/26 - Constrained optimization
29/05/26 - Interior points methods
slides Hands on (notebook) Exercises