Nonsmooth convex optimization

Institution: ENSTA ParisTech, University of Paris-Saclay

Level: 5th year engineering students / 2nd year master students

Time: 6h (October 2014)

Description: Nonsmooth convex optimization deals with optimization problems where the feasible set and the objective function are convex but where first order derivatives of the objective function don't necessarily exist. Nonsmooth optimization typically arises when one tries to optimize the dual function in Lagrangian relaxations. For homework, click here.