Lecture 1: Introduction to Convex Optimization€¦ · Solving optimization problems general...

Lecture 1: Introduction to Convex Optimization

Gan Zheng

University of Luxembourg

SnT Course: Convex Optimization with Applications

Fall 2012

Outline

• Motivation

• Examples

• Course schedule

• Course goals

• Further reading

Acknowledgement: Thanks Prof. Stephen Boyd (Stanford), and Wing-KinMa (CUHK) for the course materials.

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Motivation

• Optimization: finding the maxima or the minima of functions, subject topossible constraints.

• Interdisciplinary applications

– Electrical circuits– Wireless network– Economics– Transportation

• Examples:

– Device sizing in electronic design, which is the task of choosing the widthand length of each device in an electronic circuit.

– Portfolio optimization, to seek the best way to invest some capital in aset of n assets.

– Travelling salesman problem, given a list of cities, to find the shortestpossible route that visits each city once and returns to the origin city.

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Mathematical optimization

(mathematical) optimization problem

minimize f0(x)subject to fi(x) ≤ bi, i = 1, . . . , m

• x = (x1, . . . , xn): optimization variables

• f0 : Rn → R: objective function

• fi : Rn → R, i = 1, . . . , m: constraint functions

optimal solution x⋆ has smallest value of f0 among all vectors thatsatisfy the constraints

Introduction 1–2

Solving optimization problems

general optimization problem

• very difficult to solve

• methods involve some compromise, e.g., very long computation time, ornot always finding the solution

exceptions: certain problem classes can be solved efficiently and reliably

• least-squares problems

• linear programming problems

• convex optimization problems

Introduction 1–4

Least-squares

minimize ‖Ax− b‖2

2

solving least-squares problems

• analytical solution: x⋆ = (ATA)−1AT b

• reliable and efficient algorithms and software

• computation time proportional to n2k (A ∈ Rk×n); less if structured

• a mature technology

using least-squares

• least-squares problems are easy to recognize

• a few standard techniques increase flexibility (e.g., including weights,adding regularization terms)

Introduction 1–5

Linear programming

minimize cTxsubject to aT

i x ≤ bi, i = 1, . . . ,m

solving linear programs

• no analytical formula for solution

• reliable and efficient algorithms and software

• computation time proportional to n2m if m ≥ n; less with structure

• a mature technology

using linear programming

• not as easy to recognize as least-squares problems

• a few standard tricks used to convert problems into linear programs(e.g., problems involving ℓ1- or ℓ∞-norms, piecewise-linear functions)

Introduction 1–6

Convex optimization problem

minimize f0(x)subject to fi(x) ≤ bi, i = 1, . . . , m

• objective and constraint functions are convex:

fi(αx + βy) ≤ αfi(x) + βfi(y)

if α + β = 1, α ≥ 0, β ≥ 0

• includes least-squares problems and linear programs as special cases

Introduction 1–7

solving convex optimization problems

• no analytical solution

• reliable and efficient algorithms

• computation time (roughly) proportional to max{n3, n2m,F}, where Fis cost of evaluating fi’s and their first and second derivatives

• almost a technology

using convex optimization

• often difficult to recognize

• many tricks for transforming problems into convex form

• surprisingly many problems can be solved via convex optimization

Introduction 1–8

Two examples [1]

max

nXi=1

xi (1)

s.t. x2i − xi = 0, i = 1, · · · , n; xixj = 0, ∀(i, j) ∈ Γ.

Complexity: no. of variables = 256, 2n = 1077 = ∞

maxx

x0 (2)

s.t λmin

0BBB@26664

x1 xl1

. . . · · ·xm xl

m

xl1 · · · xl

m x0

377751CCCA ≥ 0, l = 1, · · · , k,

mXj=1

ajxlj = b

l, l = 1, · · · , k,

kXi=1

xi = 1. (3)

Complexity: for k=6, m=100, no. of variables = km + m + 1 = 701 ≈ 2.7 × 256, can be

solved in a few tens of seconds! Reason: (1) is non-convex while (2) is convex.

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Example: Diet Problem

• xi is the quantity of food i

• Each unit of food i has a cost of ci

• One unit of food j contains an amount aij of nutrient i.

• We want nutrient i to be at least equal to bi.

• Problem: find the cheapest diet such that the minimum nutrient requirementsare fulfilled.

This problem can be formulated as

minx�0

cTx

s.t. Ax � b.

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Example

m lamps illuminating n (small, flat) patches

lamp power pj

illumination Ik

rkj

θkj

intensity Ik at patch k depends linearly on lamp powers pj:

Ik =

m∑

j=1

akjpj, akj = r−2

kj max{cos θkj, 0}

problem: achieve desired illumination Ides with bounded lamp powers

minimize maxk=1,...,n | log Ik − log Ides|subject to 0 ≤ pj ≤ pmax, j = 1, . . . ,m

Introduction 1–9

how to solve?

1. use uniform power: pj = p, vary p

2. use least-squares:

minimize∑n

k=1(Ik − Ides)

2

round pj if pj > pmax or pj < 0

3. use weighted least-squares:

minimize∑n

k=1(Ik − Ides)

2 +∑m

j=1wj(pj − pmax/2)2

iteratively adjust weights wj until 0 ≤ pj ≤ pmax

4. use linear programming:

minimize maxk=1,...,n |Ik − Ides|subject to 0 ≤ pj ≤ pmax, j = 1, . . . ,m

which can be solved via linear programming

of course these are approximate (suboptimal) ‘solutions’

Introduction 1–10

0 0.5 1 1.5 2 2.5 3 3.5 40

1

2

3

4

5

6

7

8

9

x

Original cost functionLeast−squares approximationLinear approximation

Figure 1: Original cost function and approximations

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5. use convex optimization: problem is equivalent to

minimize f0(p) = maxk=1,...,n h(Ik/Ides)subject to 0 ≤ pj ≤ pmax, j = 1, . . . ,m

with h(u) = max{u, 1/u}

0 1 2 3 40

1

2

3

4

5

u

h(u

)

f0 is convex because maximum of convex functions is convex

exact solution obtained with effort ≈ modest factor × least-squares effort

Introduction 1–11

additional constraints: does adding 1 or 2 below complicate the problem?

1. no more than half of total power is in any 10 lamps

2. no more than half of the lamps are on (pj > 0)

• answer: with (1), still easy to solve; with (2), extremely difficult

• moral: (untrained) intuition doesn’t always work; without the properbackground very easy problems can appear quite similar to very difficultproblems

Introduction 1–12

Nonlinear optimization

traditional techniques for general nonconvex problems involve compromises

local optimization methods (nonlinear programming)

• find a point that minimizes f0 among feasible points near it

• fast, can handle large problems

• require initial guess

• provide no information about distance to (global) optimum

global optimization methods

• find the (global) solution

• worst-case complexity grows exponentially with problem size

these algorithms are often based on solving convex subproblems

Introduction 1–14

Course Goals

• understand fundamental theory of convex optimization

• characterize and formulate linear, quadratic, geometric, second-order cone,and semidefinite programming problems

• use optimization software to solve the structured convex problems numerically

• identify the hidden convexity of problems

• apply approximation methods to tackle non-convex problems.

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Course Schedule• 18 Oct, Lecture 1: Introduction

Lecture 2: Convex Sets and Convex Functions

• 25 Oct, Lecture 3: Convex Optimization and Lagrange Duality

• 2 Nov, Lecture 4: Linear and Quadratic Programming

Lecture 5: Disciplined Convex Programming and CVX

• 9 Nov, Lecture 6: Second-Order Cone Programming

• 15 Nov, Lecture 7: Semidefinite Programming

• 22 Nov, Lecture 8: Geometric Programming

• 29 Nov, Lecture 9: Interior Point Methods, Guest lecture by Florin

• 5 Dec, Lecture 10: More Application Examples and Summary

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Reading assignments and homework

• Relevant tutorial papers will be posted before class, together with lecture slides

• Four sets of homework

Feedback

• Too fast, too slow

• Presentation, English ...

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Reference

1 Convex Optimization, S. Boyd and L. Vandenberghe, Cambridge UniversityPress, 2004.

2 Lectures on Modern Convex Optimization: Analysis, Algorithms andEngineering Applications, Aharon Ben-Tal , Arkadi Nemirovski, Society forIndustrial Mathematics, 2001.

3 EE364a: Convex Optimization I, Stanford University

http://www.stanford.edu/class/ee364a/

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