Source:http://www.seas.ucla.edu/~vandenbe/ee236c.html
Introduction
Outline
- First-order algorithms
- Decomposition and splitting
- Second-order algorithms for unconstrained optimization
- Interior point for conic optimization
Gradient
Convexity
- ∇^2(f (x) )> 0 is not necessary for strict convexity (cf., f (x) = x^4) but sufficient
- a differentiable function f is convex if and only if dom f is convex and (∇ f (x) − ∇ f (y)) ^T (x − y) ≥ 0 for all x, y ∈ dom f i.e., the gradient ∇ f : Rn → Rn is a monotone mapping
- Lipschitz Continuity 即利普希茨连续条件,是一个比通常连续更强的光滑性条件。 直觉上,利普希茨连续函数使用dual norm限制了函数改变的速度(从效果上感觉与限制二阶导数ub类似),符合利普希茨条件的函数的斜率,必小于一个称为利普希茨常数的实数(该常数依函数而定)。
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