CISC371, Nonlinear Optimization: Lectures

Description:

These lectures are approximately aligned with classes in the course notes. There may be differences between the notes and the videos because these evolve over time.

Prerequisite material is overviewed in a series of videos that are available under the "Prerequisites" topic in the navigation bar, which is to the left of this text.

The lectures were produced using technology that is described in this video:
https://youtu.be/ltOxgb28ZKY

No. PDF Video
Week   1
Labor Day
1 Class #01 Introduction To Optimization
1a Course Overview
1b Examples: Fermat's Problem
1c Open Sets; Interior And Boundary Points
1d Minimizers and Minima
2 Class #02 Basic Differential Calculus
2a To Be Recorded
Week   2
3 Class #03 Minimizing By Approximation
3a Stationarity
3b Conditions for Stationarity
3c Convexity; Strict Convexity
3d Gradient Inequality And Convexity
4 Class #04 Scalar Minimization
4a Searching For A Scalar Minimizer
4b Searching With A Fixed Stepsize
4c Searching With a Variable Stepsize
4d Armijo Backtracking
5 Class #05 Functions With A Vector Argument
5a Functions of Multiple Variables
5b The 1-Form as Linear Algebra
5c Directional Derivative and the Chain Rule
5d Gradient 1-Form And Jacobian Matrix
5e Linear Forms And Quadratic Forms
5f Level Curves
Week   3
6 Class #06 Stationary Points
6a Stationarity Example
6b Conditions For Stationarity
6c Second Derivative And Hessian Matrix
6d Eigenvalues Of A Hessian Matrix
7 Quiz #1 Basic Scalar Optimization
8 Class #08 Methods Using Steepest Descent
8a Introduction To Descent
8b Descent Directions
8c Fixed-Stepsize Descent
8d Backtracking Descent
Week   4
9 Class #09 Newton's Method
9a Scaling Methods
9b Manual Scaling
9c Newton's Method
9d Damped Newton's Method
10 Test #1 Basic Scalar Optimization
11 Class #11 Linear Algebra For Neural Networks
11a To Be Recorded
Week   5
12 Class #12 Single Artificial Neuron
12a To Be Recorded
13 Quiz #2 Adaptive Vector Optimization
14 Class #14 Artificial Neural Networks
14a To Be Recorded
Week   6
15 Class #15 Back-Propagation Of Scale Factors
15a To Be Recorded
16 Test #2 Adaptive Vector Optimization
17 Class #17 Nonlinear Least Squares
17a GPS As Vector Optimization
17b Descent Methods for NLS Problems
17c The Levenberg-Marquardt Algorithm
17d Fermat-Weber Problems
Week   7
18 Class #18 Convexity And Level Sets
18a Monotonicity And Convexity
18b Convex Functions
18c Convex Sets
18d Level Sets
18e Gradient Inequality
19 Class #19 Constrained Optimization
19a Constraint Properties For A Minimizer
19b Linear Constraints
19c Linear Objective Functions
19d Convex Problems
20 Class #20 Lagrange Multipliers
20a Objective Gradient And Property Gradient
20b Quadratic Objective And Quadratic Constraint
20c Linear Objective And Non-Convex Constraint
20d Existence Of Lagrange Multipliers
Week   8
21 Class #21 The Lagrange Equations
21a Single Linear Constraint
21b Quadratic Objective With Linear Constraints
21c Example Mechanical System
21d Matrix Form Of Quadratic Problems
22 Quiz #3 Neural Networks and Back-Propagation
23 Class #23 Dual Formulation of Lagrange Equations
23a Primal Form And Feasible Set
23b Min-Max And Max-Min Expressions
23c Closed Form For Minimization Step
23d Dual Formulation For Quadratic Problems
Week   9
24 Class #24 KKT Conditions For Constrained Optimization
24a Linear Inequality Constraints
24b Examples Of Linear Inequalities
24c KKT Background And Examples
24d Definition Of A KKT Point
25 Test #3 Neural Networks and Back-Propagation
26 Class #26 Geometry At KKT Points
26a Algebraic Interpretation Of Lagrange Multipliers
26b KKT Geometry Of Inactive Linear Inequalities
26c KKT Geometry Of Active Linear Inequalities
26d KKT Geometry Of Linear Equality
Week   10
27 Class #27 The Support Vector Machine (SVM)
27a Hyperplane Classification
27b Hyperplane Optimization Using Support Vectors
27c Hyperplane Margins
27d Primal Formulation Of SVM
28 Quiz #4 Lagrange Multipliers and KKT Conditions
29 Class #29 Dual Formulation Of The SVM
29a Design Matrix And Label Matrix
29b Vectorization Of SVM Primal Formulation
29c Dual Formulation Of SVM
30 Class #30 Slack Variables And Dual Formulations
Week   11
30a Separable Data Not Linearly Separable
30b Slack Variables And Soft Margins
30c Slack Variables In SVM Primal Formulation
30d Slack Variables In SVM Dual Formulation
31 Test #4 Lagrange Multipliers and KKT Conditions
32 Class #32 Kernel Trick For Nonlinear SVM
32a Nonlinearly Separable Data
32b Kernel Functions
32c Gram Matrix And The Kernel Trick
Week   12
32 Class #33 Kernel Classification For SVM
33a Convex Problem For Lagrange Multipliers
33b Classifying Observations And The Kernel Trick
33c Examples Using Gaussian Kernels
34 Quiz #5 Linear SVM
35 Class #35 Course Summary
Week   13
36 Test #5 Linear SVM
Symbols Symbols used in these notes


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