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
- Project to be done by pair for the 03/05/2024. to be returned on 17/05/2024
A notebook to get a hand on julia.
- DM 24- with answers
- DM 24
- DS 23- with answers
- DM 23
- DM 22- with answers
- DS 22- with answers
- DM 21- with answers
- Short answers to some exercises
Timeline
01/03/24 - Markov chain and Dynamic Programming
08/03/24 - Dynamic Programming in infinite horizon
slides Hands on (pdf) Hands on (notebook)