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Topics in Convex Optimization

August 25-26, 2011

General Information

The course is given August 25-26 by Stephen Boyd and it will be held at the department of Automatic Control

Contents

  • See the literature below

Organization and Examination

  • Lectures: 9.00-17.00 both days with lunch break 12-13
  • Location: Visionen, Building B, Ground Floor (Level 2), Campus Valla, Linköping. Map
  • Course credits: 2hp
  • Examination: Complete the homework assignments
  • Homework assignment 1: Exercise 3 in Homework 7 which is found here. This exercise need not to be handed in.
  • Homework assignment 2:

    Solve the problem:

    minimize 1/2||Ax-b||^2_2

    s.t. ||x||_{infty}<=1.

    where Ain R^{m imes n}, m>n

  • The solution should use factorization caching
  • Compare to Matlab x = A
  • Optional Use sparse A; Use the LSQR routine
  • Solutions should be working code with comments explaining the necessary details. Send your solution to ljung_at_isy.liu.se

Course Literature

Prerequisites

Optional: Course in Convex Optimization and/or Machine Learning
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