Course: CAAM 31015 = STAT 31015, CMSC 35470, TTIC 31070, BUSN 36903
Title: Mathematical Computation IIA: Convex Optimization
Instructor(s): Nathan Srebro
Teaching Assistant(s): Zhen Dai
Class Schedule: Sec 01: MW 1:30 PM–2:50 PM in TTIC 526
Prerequisite(s): STAT 30900/CMSC 37810 or consent of instructor
Description: The course will cover techniques in unconstrained and constrained convex optimization and a practical introduction to convex duality. The course will focus on (1) formulating and understanding convex optimization problems and studying their properties; (2) understanding and using the dual; and (3) presenting and understanding optimization approaches, including interior point methods and first order methods for non-smooth problems. Examples will be mostly from data fitting, statistics and machine learning.