Week 3: Constrained optimization, LP, and QP

DATA 442/642 · Week 3

Module 1 — Constrained optimization, LP, QP

Notes

• 3.1 Constrained Optimization(slides)
• 3.2 Linear Programming(slides)
• 3.3 Quadratic Programming(slides)

Labs

• Lab 3: A Lagrange Multiplier by Hand(PDF)

Homework

• Homework 1(PDF)

Additional

• 4. Necessary and sufficient conditions(PDF)
• 5. Dual theory(PDF)
• ADMM versus primal-dual(PDF)
• Augmented Lagrangian(PDF)
• Lab 3: Lagrange multipliers(PDF)
• Extra-credit homework (Module 1)(PDF)
• Extra-credit exercises (Module 1)(PDF)

Discussion

• What does a Lagrange multiplier charge you for?
• Why is a soft-margin SVM a quadratic program?