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Convex Optimization

The document discusses convex optimization problems and their applications. It introduces concepts like variables, constraints, and objectives as they relate to optimization problems in portfolio creation and electric device design. It then defines least squares problems, linear programming problems, and standard convex optimization problems. Key points covered include convex sets and functions, optimal and locally optimal solutions, and how any locally optimal solution in a convex problem is guaranteed to be globally optimal.

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Eric Emer
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63 views

Convex Optimization

The document discusses convex optimization problems and their applications. It introduces concepts like variables, constraints, and objectives as they relate to optimization problems in portfolio creation and electric device design. It then defines least squares problems, linear programming problems, and standard convex optimization problems. Key points covered include convex sets and functions, optimal and locally optimal solutions, and how any locally optimal solution in a convex problem is guaranteed to be globally optimal.

Uploaded by

Eric Emer
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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CONVEX OPTIMIZATION

Eric Emer

Motivation, Optimization
Creating an investment portfolio Variables: $ amount invested in each individual asset Constraints: total portfolio value, not willing to invest more than $5000 in any particular asset, minimum expected return Objective: Minimize risk Electric device design Variables: Board dimensions (length, width) Constraints: Maximum latency, we want to remain below a maximum of 48in2 Objective: Minimize power consumption

Least Squares Problem


primitive class of optimization problem

Linear Programming Problem


2nd primitive class of optimization problem

Standard Convex Optimization Problem

Convex Sets, Convex Functions

Optimization Problem

Standard Convex Optimization Problem (2)

Optimal and Locally Optimal Points

Any locally optimal point of a convex problem is globally optimal


Proof

Existence of locally optimal non-globally optimal point

implies non-convexity

Optimality Criterion for differentiable objective functions

Piecewise linear-minimization

Chebyshev Center of a Polyhedron

Conclusion
Optimization

Convexity
Linear Programming -> Quadratic Programming ->

Geometric Programming -> Many more

References
Boyd & Vandenberghe, Convex Optimization

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