Lecture

Convex Optimization: Epigraphs

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In course

MGT-418: Convex optimization

This course introduces the theory and application of modern convex optimization from an engineering perspective. ...

Description

This lecture covers the concept of epigraphs, focusing on determining a class of functions whose epigraphs are halfspaces, polyhedra, and convex cones. It also explores the convexity of bivariate functions, analyzing functions like f(x1,x2) = 2x1x2 and f(x1,x2) = 1/(x1x2) on specific domains. Additionally, it delves into the convexity of log-sum-exp functions, crucial in logistic regression, by computing the Hessian in two and three dimensions and generalizing the results. The instructor provides rigorous arguments and hints for analysis.

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Instructor

Daniel Kuhn

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Related concepts (32)

Convex set

In geometry, a subset of a Euclidean space, or more generally an affine space over the reals, is convex if, given any two points in the subset, the subset contains the whole line segment that joins them. Equivalently, a convex set or a convex region is a subset that intersects every line into a single line segment (possibly empty). For example, a solid cube is a convex set, but anything that is hollow or has an indent, for example, a crescent shape, is not convex. The boundary of a convex set is always a convex curve.

Convex optimization

Convex optimization is a subfield of mathematical optimization that studies the problem of minimizing convex functions over convex sets (or, equivalently, maximizing concave functions over convex sets). Many classes of convex optimization problems admit polynomial-time algorithms, whereas mathematical optimization is in general NP-hard.

Convex hull

In geometry, the convex hull or convex envelope or convex closure of a shape is the smallest convex set that contains it. The convex hull may be defined either as the intersection of all convex sets containing a given subset of a Euclidean space, or equivalently as the set of all convex combinations of points in the subset. For a bounded subset of the plane, the convex hull may be visualized as the shape enclosed by a rubber band stretched around the subset. Convex hulls of open sets are open, and convex hulls of compact sets are compact.

Convex analysis

Convex analysis is the branch of mathematics devoted to the study of properties of convex functions and convex sets, often with applications in convex minimization, a subdomain of optimization theory. Convex set A subset of some vector space is if it satisfies any of the following equivalent conditions: If is real and then If is real and with then Convex function Throughout, will be a map valued in the extended real numbers with a domain that is a convex subset of some vector space.

Convex polytope

A convex polytope is a special case of a polytope, having the additional property that it is also a convex set contained in the -dimensional Euclidean space . Most texts use the term "polytope" for a bounded convex polytope, and the word "polyhedron" for the more general, possibly unbounded object. Others (including this article) allow polytopes to be unbounded. The terms "bounded/unbounded convex polytope" will be used below whenever the boundedness is critical to the discussed issue.

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