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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