Results for EE364

Convex sets, functions, and optimization problems. The basics of convex analysis and theory of convex programming: optimality conditions, duality theory, theorems of alternative, and applications. Least-squares, linear and quadratic programs, semidefinite programming, and geometric programming. Numerical algorithms for smooth and equality constrained problems; interior-point methods for inequality constrained problems. Applications to signal processing, communications, control, analog and digital circuit design, computational geometry, statistics, machine learning, and mechanical engineering. Prerequisite: linear algebra such as EE263, basic probability.

Continuation of 364A. Subgradient, cutting-plane, and ellipsoid methods. Decentralized convex optimization via primal and dual decomposition. Monotone operators and proximal methods; alternating direction method of multipliers. Exploiting problem structure in implementation. Convex relaxations of hard problems. Global optimization via branch and bound. Robust and stochastic optimization. Applications in areas such as control, circuit design, signal processing, and communications. Course requirements include project. Prerequisite: 364A.

This course covers the elegant mathematical underpinnings of convex optimization, with a focus on those analytic techniques central to the successes of the field. Topics include, but are not limited to, convex sets and functions, separation theorems, duality, set-valued analysis, and the mathematical insights central to the development of modern optimization methods. Pre- or co-requisite: EE364A, and mathematical analysis at the level of MATH171.