凸优化分析 导论 斯坦福大学电子工程系必修课程.pdfVIP

Convex Optimization — Boyd Vandenberghe 1. Introduction • mathematical optimization • least-squares and linear programming • convex optimization • example • course goals and topics • nonlinear optimization • brief history of convex optimization 1–1 Mathematical optimization (mathematical) optimization problem minimize f (x) 0 subject to f (x) ≤ b , i = 1, . . . , m i i • x = (x , . . . , x ): optimization variables 1 n • f0 : Rn → R: objective function • fi : Rn → R, i = 1, . . . , m: constraint functions optimal solution x⋆ has smallest value of f0 among all vectors that satisfy the constraints Introduction 1–2 Examples portfolio optimization • variables: amounts invested in different assets • constraints: budget, max./min. investment per asset, minimum return • objective: overall risk or return variance device sizing in electronic circuits • variables: device widths and lengths • constraints: manufacturing limits, timing requirements, maximum area • objective: power consumption data fitting • variables: model parameters • constraints: prior information, parameter limits • objective: measure of misfit or prediction error Introduction 1–3 Solving optimization problems general optimization problem • very difficult to solve • methods involve some compromise, e.g., very long computation