The topic of this class is advanced optimization, the principles underlying various common optimization algorithms. Our focus for this class will be on algorithms and theory. Lectures will cover various algorithms for convex optimization and talk about their convergence analysis. Student presentations will cover some recent advances in non-convex optimization.

There is no one text book, but the class will be heavily based on material from the following two books:

  • J. Nodecal and S. Wright. Numerical Optimization

  • S. Bubeck. Convex Optimization - Algorithms and Complexity.