STATS 606

Schedule

Date	Topics	References
Jan 10, 12	convex sets	BV† Ch 2 Convex sets slides
Jan 17, 19	convex functions, convex optimization basics	BV Ch 3, 4 Convex functions slides Convex optimization problems slides
Jan 24, 26	convex optimization problems	BV Ch 4 Convex optimization problems slides
Jan 31, Feb 2	semi-definite programming, Lagrangian duality	BV Ch 4, 5 Convex optimization problems slides Duality slides
Feb 7, 9	gradient descent	Gradient descent video Gradient descent slides Gradient descent proofs
Feb 14, 16	duality examples, optimality conditions	BV Ch 5 Duality slides Optimality condition notes KKT condition notes
Feb 21	duality uses	BV Ch 5 Duality slides
Feb 23, Mar 7	Constrained optimization	Constrained optimization video Constrained optimization slides Constrained optimization proofs
Mar 9	stochastic optimization	Stochastic optimization slides
Mar 14, 16	subgradients, subgradient methods	Subgradient methods slides Subgradient properties proofs Subgradient methods proofs
Mar 21, 23	Proximal methods	Proximal methods slides Proximal methods proofs
Mar 28	Accelerated first-order methods	Accelerated first-order methods slides Accelerated first-order methods proofs
Mar 30, Apr 4	Mirror descent	Mirror descent slides Mirror descent proofs Mirror descent video
Apr 6	Dual and primal-dual methods	Dual and primal dual methods slides
Apr 11, 13	Primal-dual methods, augmented Lagrangian methods	Dual and primal dual methods slides Augmented Lagrangian methods slides ADMM convergence proof ADMM video
Apr 18	Stochastic optimization	Stochastic optimization slides Stochastic optimization proofs Stochastic optimization video Variance reduction video

†BV refers to Boyd and Vandenberghe’s book on convex optimization.