Wednesday, February 10, 2016
4:00 PM - 5:00 PM
Special Seminar in Computing + Mathematical Sciences
Level-Set Methods for Convex Optimization
Michael Friedlander, Professor, Mathematics, UC Davis,
Convex optimization problems in a variety of applications have favorable objectives but complicating constraints, and first-order methods are not immediately applicable. We describe an approach that exchanges the roles of the objective and constraint functions, and instead approximately solves a sequence of parametric problems. We describe the theoretical and practical properties of this approach for a broad range of problems, including sparse and conic optimization.
Joint work with A. Aravkin, J. Burke, D. Drusvyatskiy, S. Roy.
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