凸优化理论 课件.pdfVIP

Convex Optimization Stephen Boyd (Stanford University) Short Course, Harbin Institute of Technology July 13-18, 2012 Convex optimization — HIT 2012 1. Introduction • mathematical optimization • least-squares and linear programming • convex optimization • example • brief history 1–1 Mathematical optimization minimize f (x) 0 subject to f (x) ≤ 0, i = 1, . . . , m i h (x) = 0, i = 1, . . . , p i variable x = (x , . . . , x ) 1 n • complexity varies widely, depending on properties of f , h i i • general methods involve compromise (computation time, suboptimality) Exceptions: certain problem classes can be solved efficiently and reliably • least-squares • linear programming • convex optimization problems 1–2 Least-squares minimize Ax − b 2 2 • analytical solution: x⋆ = (AT A)−1AT b • reliable and efficient algorithms and software 2 p ×n • computation time proportional to n p (for A ∈ R ); less if structured • a widely used technology Using least-squares • least-squares problems are easy to recognize • standard techniques in