Lecture 11: Augmented Lagrangian
Thursday July 9, 14-16 on zoom
Equality constrained optimization: Augmented Lagrangian convergence
Lectures take place online Thursdays at 14-16, starting at April 23. See meeting rooms for technical details.
Please read the lecture page and watch the lecture videos linked on that page before the online lecture meeting. During the online meetings, we will mostly discuss open questions, close gaps, and deliver some additional material. Probably the online meetings will take less than 90 min.
Lecture notes can be found here.
Thursday July 9, 14-16 on zoom
Equality constrained optimization: Augmented Lagrangian convergence
Thursday July 2, 14-16 on zoom
Equality constrained optimization: penalty and augmented Lagrangian
Thursday June 25, 14-16 on zoom
Equality constrained optimization: Newton-KKT and penalty
Thursday June 18, 14-16 on zoom
Equality constrained optimization: second order conditions
Thursday June 4, 14-16 on zoom
Equality constrained optimization: necessary optimality conditions
Thursday May 28, 14-16 on zoom
Nonconvex problems: Levenberg-Marquardt, trust region, cubic upper bound
No lecture due to national holidays.
Thursday May 12, 14-16 on zoom
Newton’s method: practical step size control
Thursday May 7, 14-16 on zoom
Newton’s method: locally quadratic convergence, stepsize selection
Thursday April 30, 14-16 on zoom
Steepest descent aka gradient method: convergence, convergence speed, termination criterion.
Make sure not to have missed the contents of Exercise 1.