Convex Analysis and Minimization Algorithms

APMA 2811W S01 [CRN: 16146]

This course provides a solid mathematical presentation of modern convex analysis and convex optimization algorithms for large scale problems. Topics include: subdifferential calculus, duality and Fenchel-Legendre transform, proximal operators and Moreau's regularization, optimal first-order methods, Augmented Lagrangian methods and alternating direction method of multipliers, network flows. The course will provide the mathematical and algorithmical underpinnings. It will also explore some applications in signal and image processing, optimal control and machine learning.
Fall 2017
14:30 - 15:50 Tue, Thu - from Sep 6, 2017 to Dec 21, 2017