Advanced non-smooth optimization


Friday January 16th, 14h-16h30

Slides

Computational resources

  • Scikit-Learn: machine learning in Python, contains implementations of many basic proximal splitting methods.
  • The numerical Tours of Signal Processing (in Matlab, Python and Julia) contains a section dedicated to convex optimization, with applications.
  • CVX: interface for several conic program for small/medium size linear/quadratic/psd optimization problems. Also in Python.
  • TFOCS: similar to CVX, but using first order (proximal) splitting scheme instead of interior point methods.
  • SPAMS: state of the art sparse solver, including homotopy/LARS.

Bibliography

Here is a (biased) bibliography related to the lectures.