Convex Optimization: Portfolio Optimization

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Related lectures (34)

Lagrangian Duality: Theory and Applications Log in to Mediaspace to watch this video

Explores Lagrangian duality in convex optimization, discussing strong duality, dual solutions, and practical applications in second-order cone programs.

Conjugate Duality: Envelope Representations and Subgradients Log in to Mediaspace to watch this video

Explores envelope representations, subgradients, and the duality gap in convex optimization.

Convex Optimization Log in to Mediaspace to watch this video

Introduces the fundamentals of convex optimization, emphasizing the significance of convex functions in simplifying the minimization process.

Conjugate Duality: Understanding Convex Optimization Log in to Mediaspace to watch this video

Explores conjugate duality in convex optimization, covering weak and supporting hyperplanes, subgradients, duality gap, and strong duality conditions.

Lagrangian Duality: Convex Optimization Log in to Mediaspace to watch this video

Explores Lagrangian duality in convex optimization, transforming problems into min-max formulations and discussing the significance of dual solutions.

Convex Optimization: Sets and Functions Log in to Mediaspace to watch this video

Introduces convex optimization through sets and functions, covering intersections, examples, operations, gradient, Hessian, and real-world applications.

Convex Optimization: Gradient Descent Log in to Mediaspace to watch this video

Explores VC dimension, gradient descent, convex sets, and Lipschitz functions in convex optimization.

Convex Sets: Mathematical Optimization Log in to Mediaspace to watch this video

Introduces convex optimization, covering convex sets, solution concepts, and efficient numerical methods in mathematical optimization.

Optimal Transport: Rockafellar Theorem Log in to Mediaspace to watch this video

Explores the Rockafellar Theorem in optimal transport, focusing on c-cyclical monotonicity and convex functions.

Convex Optimization: Exercises Log in to Mediaspace to watch this video

Covers exercises on convex optimization, focusing on formulating and solving optimization problems using YALMIP and solvers like GUROBI and MOSEK.

Convex Optimization: Generalized Inequalities Log in to Mediaspace to watch this video

Explores problems with generalized inequalities in convex optimization and the equivalence between SOCP and SDP.

Variational Problems: Convexity and Coercivity Log in to Mediaspace to watch this video

Explores variational problems, emphasizing convexity and coercivity conditions in functionals with integral side constraints.

Untitled Log in to Mediaspace to watch this video

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