CS292A (Spring 2019) Convex optimization: Gradient Methods and Online Learning

Syllabus [ link ]

Instructor: Prof. Yu-Xiang Wang

Lecture Section: Tuesday/Thursday 1:00-2:40 pm Location: Phelps 3526

Piazza: piazza.com/ucsb/spring2019/cs292a/home
Piazza is our main channel of communication. Questions should be posted here.

Gradescope: https://www.gradescope.com/courses/46836
This is where you submit your homeworks.

Office hours: outside the lecture hall after each class.

Course evaluation: 80% Homework, 15% Reading Notes, 5% Participation. Bonus 5% for scribing.

Scribing: Please volunteer here, use this latex template

Course Schedule / Scribed Notes

Week Date Topic Reading Assignment Scribe
1 2-Apr Intro + Convex Set and Convex Function BV Ch.1, Ch.2, Ch.3 HW1 out [pdf,data] [Scribe 1, latex]
4-Apr Convex Optimization Basics BV Ch. 4
2 9-Apr No class, prof travelling
11-Apr No class, prof travelling
3 16-Apr Gradient Descent BV Ch 9.1-9.4 HW2 out [pdf,data] / HW1 Due [Scribe 3, latex]
18-Apr Subgradient and subdifferential Boyd's subgradient notes [Scribe 4, latex]
4 23-Apr Subgradient method and Proximal Gradient Descent (Part I) Boyd's subgradient method notes [Scribe 5, latex]
25-Apr Proximal Gradient Descent (Part II) Section 1-4 of Parikh and Boyd ) [Scribe 6, latex]
5 30-Apr Stochastic (sub)gradient methods Section 1-5 of Boyd's SGD notes
2-May Duality Lecture 11 and 12 of CMU 10-725 HW3 out [pdf,data] / HW2 due. [Scribe 8]
6 7-May KKT conditions and its usage Lecture 13 and 14 of of CMU 10-725 [Scribe 9, latex]
9-May Advanced topics: Modern Stochastic Methods [Johnson and Zhang (2013), Ghadimi and Lan (2013)
7 14-May Intro to online learning: Learning from expert advice Hazan Ch 1 [Notes 11, latex]
16-May Online (Projected) Gradient Descent Hazan Ch 3 HW4 Out [pdf] / HW3 Due
8 21-May No class, NeurIPS deadline
23-May No class, NeurIPS deadline
9 28-May Follow the Regularized Leader Hazan Ch 5 [Scribe 13, latex]
30-May Multi-armed Bandits Hazan Ch 6.1 - 6.2
10 4-Jun OCO with Bandits Feedback Hazan Ch 6.3-6.5 HW#4 due [Scribe 15, latex]
6-Jun Finish BCO, Summary and Generalizations (Adaptive regret, dynamic regret, MDP and beyond) [Besbes et al. ( 2013,2014), [Chen et al. (2018)][Baby and Wang (2019)] [Scribe 16, latex]