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Lecture03 - Convex Functions and Optimization

EECS 545 - Machine Learning Lecture 3 covered convex optimization and probability/statistics. Important notes included that HW1 was due January 25th and should be submitted via Gradescope. An optional tutorial was scheduled for January 13th. Functions are convex if their hessian is positive semi-definite, and convex sets are those where the line connecting any two interior points lies entirely within the set. The general optimization problem involves minimizing a function subject to constraints, and Lagrange duality transforms a constrained optimization problem into an equivalent dual problem that is sometimes easier to solve.

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17 views

Lecture03 - Convex Functions and Optimization

EECS 545 - Machine Learning Lecture 3 covered convex optimization and probability/statistics. Important notes included that HW1 was due January 25th and should be submitted via Gradescope. An optional tutorial was scheduled for January 13th. Functions are convex if their hessian is positive semi-definite, and convex sets are those where the line connecting any two interior points lies entirely within the set. The general optimization problem involves minimizing a function subject to constraints, and Lagrange duality transforms a constrained optimization problem into an equivalent dual problem that is sometimes easier to solve.

Uploaded by

otakun
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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EECS 545 - Machine Learning

Lecture 3: Convex Optimization + Probability/Stat


Overview

Date: January 13, 2016

Instructor: Jacob Abernethy

In [1]: from IPython.core.display import HTML, Image


from IPython.display import YouTubeVideo
from sympy import init_printing, Matrix, symbols, Rational
import sympy as sym
from warnings import filterwarnings
init_printing(use_latex = 'mathjax')
filterwarnings('ignore')

%pylab inline

import numpy as np

Populating the interactive namespace from numpy and matplotlib

Some important notes

HW1 is out! Due January 25th at 11pm

Homework will be submitted via Gradescope. Please see Piazza for precise instructions. Do it
soon, not at the last minute!!

There is an optional tutorial this evening, 5pm, in Dow 1013. Come see Daniel go over some
tough problems.

No class on Monday January 18, MLK day!


Python: We recommend Anacdona

Anaconda is standalone Python distribution that includes all the most important scientific
packages: numpy, scipy, matplotlib, sympy, sklearn, etc.
Easy to install, available for OS X, Windows, Linux.
Small warning: it's kind of large (250MB)

Some notes on using Python


HW1 has only a very simple programming exercise, just as a warmup. We don't expect you to
submit code this time
This is a good time to start learning Python basics
There are a ton of good places on the web to learn python, we'll post some
Highly recommended: ipython; it's a much more user friendly terminal interface to python
Even better: jupyter notebook, a web based interface. This is how I'm making these slides!

Checking if all is installed, and HelloWorld


If you got everything installed, this should run:

# numpy is crucial for vectors, matrices, etc.


import numpy as np
# Lots of cool plotting tools with matplotlib
import matplotlib.pyplot as plt
# For later: scipy has a ton of stats tools
import scipy as sp
# For later: sklearn has many standard ML algs
import sklearn
# Here we go!
print("Hello World!")
More on learning python
We will have one tutorial devoted to this
If you're new to Python, go slow!
First learn the basics (lists, dicts, for loops, etc.)
Then spend a couple days playing with numpy
Then explore matplotlib
etc.
Piazza = your friend. We have a designated python instructor (IA Ben Bray) who has lots of
answers.

Lecture Cat #2

(credit to Johann for the suggestion)

Functions and Convexity


Let be a function mapping , and assume is twice differentiable.
The gradient and hessian of , denoted and , are the vector an matrix functions:

Note: the hessian is always symmetric!


Convex functions
We say that a function is convex if, for any distinct pair of points we have

Fun facts about convex functions


If is differentiable, then is convex iff "lies above its linear approximation", i.e.:

If is twice-differentiable, then the hessian is always positive semi-definite!


This last one you will show on your homeowork :-)
Convex Sets
is convex if

for any and


that is, a set is convex if the line connecting any two points in the set is entirely inside the set
Not all sets are convex

The Most General Optimization Problem


Assume is some function, and is some set. The following is an optimization problem:

How hard is it to find a solution that is (near-) optimal? This is one of the fundamental problems
in Computer Science and Operations Research.
A huge portion of ML relies on this task
A rough optimization hierarchy

[Really Easy] (i.e. problem is unconstrained), is convex, is differentiable, strictly


convex, and "slowly-changing" gradients
[Easyish] , is convex
[Medium] is a convex set, is convex
[Hard] is a convex set, is non-convex
[REALLY Hard] is an arbitrary set, is non-convex

Optimization without constraints

This problem tends to be easier than constrained optimization


We just need to find an such that
Techniques like gradient descent or Newton's method work in this setting. (More on this later)

Optimization with constraints

Here the set


is convex as long as all convex
The solution of this optimization may occur in the interior of , in which case the optimal will
have
But what if the solution occurs on the boundary of ?
A Quick Overview of Lagrange Duality

Here we need to work with the Lagrangian:

The vector are dual variables


For fixed , we now solve
A Quick Overview of Lagrange Duality

Assume, for every fixed , we found such that

Now we have what is called the dual function,

The Lagrange Dual Problem


What did we do here? We took one optimization problem:

And then we got another optimization problem:

Sometimes this dual problem is easier to solve


We always have weak duality:
Under nice conditions, we get strong duality:
Recommended reading:
Free online!
Chapter 5 covers duality

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