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Convex and Conic Optimization: Spring 2017

This document provides information about the ORF 523 "Convex and Conic Optimization" course offered in Spring 2017 at Princeton University. The course is an introduction to convex, conic, and nonlinear optimization techniques. It will cover topics like convex analysis, duality, semidefinite programming, and applications in operations research, dynamics, statistics, and economics. The class meets Tuesday and Thursday from 1:30-2:50pm in Room 101 of Julis Romo Rabinowitz Building. Students will complete problem sets, two midterms, and a take-home final exam. Collaboration is allowed on problem sets but not exams.

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113 views

Convex and Conic Optimization: Spring 2017

This document provides information about the ORF 523 "Convex and Conic Optimization" course offered in Spring 2017 at Princeton University. The course is an introduction to convex, conic, and nonlinear optimization techniques. It will cover topics like convex analysis, duality, semidefinite programming, and applications in operations research, dynamics, statistics, and economics. The class meets Tuesday and Thursday from 1:30-2:50pm in Room 101 of Julis Romo Rabinowitz Building. Students will complete problem sets, two midterms, and a take-home final exam. Collaboration is allowed on problem sets but not exams.

Uploaded by

akiscribd1
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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ORF 523, Spring 2017

Convex and Conic Optimization

Course description

A mathematical introduction to convex, conic, and nonlinear optimization. Topics include convex
analysis, duality, theorems of alternatives and infeasibility certificates, semidefinite programming,
polynomial optimization, sum of squares relaxation, robust optimization, computational complexity in
numerical optimization, and convex relaxations in combinatorial optimization. Applications drawn from
operations research, dynamical systems, statistics, and economics.

Class schedule and location

T, Th 1:30 pm-2:50 pm. Julis Romo Rabinowitz Building, Room 101.

Instructor

Amir Ali Ahmadi, Assistant Professor at ORFE. Web: http://aaa.princeton.edu/ Email: a_a_a@p...
Office hours: Tuesdays, 5:30-7:30 PM, Sherrerd 329.

TA

 Bachir El Khadir
 Email: bkhadir@p...
 Office hours: Wed 4-6, Sherrerd 005.

Prerequisites

 Linear optimization (e.g., at the level of ORF 522).


 Mathematical maturity, familiarity with MATLAB, and comfort with linear algebra and
multivariate calculus.

Course website

 The course will be on Blackboard and we will have Piazza.


 Lecture notes and problem sets will also be posted here:
http://aaa.princeton.edu/orf523

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Tentative set of topics

 Optimality conditions
 Convex analysis and convex optimization
 Duality and infeasibility certificates
 Computational complexity
 Focus on complexity in numerical optimization
 Conic programming
 More in depth coverage of semidefinite programming
 A module on combinatorial optimization
 Selected topics:
 Robust optimization
 The ellipsoid method or interior point methods
 Polynomial optimization
 Sum of squares programming
 Optimization in dynamical systems
 Various applications of convex and conic optimization

References

 A. Ben-Tal and A. Nemirovski, Lecture Notes on Modern Convex Optimization [link]


 S. Boyd and L. Vandenberghe, Convex Optimization [link]
 M. Laurent and F. Vallentin, Semidefinite Optimization [link]
 R. Vanderbei, Linear Programming and Extentions [link]

Course grade

 50% homework (5-6 problem sets; will drop the lowest score)
 20% two midterm exams (in-class; one page of cheat sheet allowed; will drop the lower score)
 30% final exam/assignment (take-home)

Homework

Homework will be due in class, at 1:30 pm. If you cannot make it to class one day, you can drop it off
(before 1:30 pm) in Sherrerd 123 (ORFE undergraduate lounge) in the box designated for ORF 523.

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Unless there is a valid reason, requests for extension on homework will not be accepted. To help stick
with this policy, we drop your lowest homework score.

Midterms

There will be two midterm exams and you can drop your lower score. Midterms are not cumulative (the
final exam is). They will be in-class and 80 minutes long. The midterms are planned to be in March and
April respectively. These exams are closed-book and closed-notes. However, you can take a single sheet
of A4 paper with you (double-sided) with anything you want written on it. No electronic devices are
allowed; no calculators, no phones, etc. There will be no computer exercises on the midterm exams.

Final exam/assignment

You can think of the final exam as a longer, cumulative problem set that needs to be done individually. It
will be given out after the last week of class and will likely be due on Dean’s date. Exact dates are to be
announced.

In rare cases, we may allow the final assignment to be replaced with a final project. This will only be the
case if the student is truly interested in doing research on a topic of direct relevance to what we cover in
this course. The project report should be done in LaTeX, be no longer than 20 pages, and will be graded
to high standards.

Collaboration policy

Homework: You are allowed and in fact encouraged to collaborate on the homework. You have to turn
in your individual assignment and you have to write the name of the students with whom you worked
with on the first page of your homework. Full credit will be given to all members of the team.

Midterms and final assignment: No collaboration allowed.

Honor code

We strictly adhere to Princeton University’s Undergraduate Honor System.

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