 # Convex Optimization

Created
Jan 30, 2022
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Convex Optimization
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Mathematics
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Useful tricks in Convex Optimization

### Convex Optimization Problems

Optimization usually has the form of
to describe the optimization function with optimization variable and the objective function .

#### Linear optimization programming

where and .

The following problems can be formulated as LPs.
Minimize .
This is equivalent to the LP:
This follows from that That is, .
Minimize .
This is equivalent to the LP:
This follows from that . The LP is optimal when . Then, it implies that is optimal.
Minimize subject to .
This is equivalent to the LP:
Minimize subject to .
This is equivalent to the LP:
Minimize .
This is equivalent to the LP:

for k in range(0, N):
Approximate f by f_k according to x(k)
Do something using f_k (e.g., setting x(k+1) = argmmin f_k(x))
There are multiple forms of approximations
First-order approximation:
Usually, the algorithm here looks like
for k in range(0, N):
return x(k)
x(k+1) = x(k) - step_size * gradient(x(k))
Theorem: Let . For any , the following are equivalent:
1. for all
1. for all
1. for all

Theorem: Let be a function with -Lipschitz gradient and be any minimizer of . The gradient descent with step size outputs a point such that in iterations.

Second-order approximation:
Stochastic Approximation: for a random
Matrix Approximation: Approximate by a simpler with
Set Approximation: Approximate a convex set by an ellipsoid or a polytope
Barrier Approximation: Approximate a convex set by a smooth function that blows up on the boundary
Polynomial Approximation: Approximate a function by a polynomial
Partial Approximation: Split the problem into two parts and approximate only one part
Taylor Approximation:
Mixed - Approximation:
Stochastic Matrix Approximation: Approximate by a simpler random with and
Homotopy Method: Approximate a function by a family of functions