Universität Wien FIND

390038 UK VGSCO Nonsmooth Optimization and Variational Analysis (2017W)

Prüfungsimmanente Lehrveranstaltung

Details

max. 50 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine

Block, January 8-19, 2018 (10 x 2)
Seminar Room 3.307 (Faculty of Business, Economics and Statistics)

Monday, 08.01.18 10:30 - 12:30
Tuesday, 09.01.18 10:30 - 12:30
Wednesday, 10.01.18 15:00 - 17:00
Thursday, 11.01.18 10:30 - 12:30
Friday, 12.01.18 10:30 - 12:30

Monday, 15.01.18 10:30 - 12:30
Tuesday, 16.01.18 10:30 - 12:30
Wednesday, 17.01.18 15:00 - 17:00
Thursday, 18.01.18 10:30 - 12:30
Friday, 19.01.18 10:30 - 12:30


Information

Ziele, Inhalte und Methode der Lehrveranstaltung

Bundle methods are often the algorithms of choice for nonsmooth convex optimization, especially if accuracy in the solution and reliability are a concern. We review several algorithms based on the bundle methodology that have been developed recently and that, unlike their forerunner variants, have the ability to provide exact solutions even if most of the time the available information is inaccurate. We adopt an approach that, without being exhaustive, covers several variants in the literature and allows us to consider extensions such as
- dealing with nonconvex objective functions;
- solving constrained problems; and
- exploiting underlying functional structure to achieve fast convergence.

Art der Leistungskontrolle und erlaubte Hilfsmittel

There will be a 30 minute quizz at the end of some class, plus one project, to prepare before the end of January.

Mindestanforderungen und Beurteilungsmaßstab

Good knowledge of Vector Calculus and Numerical Analysis.
Basic knowledge of Nonlinear Optimization, Duality, Convex Analysis, and Matlab/Octave/Scilab.

Prüfungsstoff

Nondifferentiable optimization, bundle methods, proximal points

Literatur

READING LIST
(a) Part II in Numerical Optimization, Theoretical and Practical Aspects
Authors: Bonnans, J.-F., Gilbert, J.C., Lemarechal, C., Sagastizábal, C.A.
http://www.springer.com/br/book/9783540354451
(b) Bundle methods in the XXIst century: A bird's-eye view
Authors: de Oliveira, W, Sagastizábal, C.
Pesqui. Oper. vol.34 no.3 Rio de Janeiro Sept./Dec. 2014

http://dx.doi.org/10.1590/0101-7438.2014.034.03.0647

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Di 17.04.2018 10:30