Tag Archives: optimization

CVX Annouced Version 2 (beta)

CVX has become an indispensable tool for modeling and prototyping in various scientific disciplines, in particular where optimization play significant roles.  It provides a most intuitive modeling interface that bridges complex formulation and the underlying numerical solvers, saving the user abundant time for thinking.

Version 2 of CVX has featured extended support for commercial solvers, MOSEK and Gurobi. This is really good news for academic users, since 1) both solvers provide free licenses to academic users; and 2) both solvers are mostly more optimized than the free solvers currently bundles with CVX, namely, SDPT3 and SeDuMi. Related part of the announcement as follows:

  • Academic users may utilize the CVX Professional capability at no charge.
    • Users with a valid academic license for Gurobi 5.0 or later may use it with CVX without obtaining a CVX Professional license. This is because CVX is able to detect the presence of an academic Gurobi license.
    • In order to use MOSEK, a CVX Professional license is required. We intend to provide such licenses at no charge, but we have not yet completed the licensing architecture. We will make an announcement once this has been completed.

In addition, mailing list support has changed into a Q&A forum (StackExchange style …) and the documentation has changed to online html version with better cross references.

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From NIPS 2010: Optimization Algorithms in Machine Learning

http://videolectures.net/nips2010_wright_oaml/

Prof. Stephen J. Wright conducted an excellent tutorial in NIPS 2010.  This tutorial peeks into several important aspects of algorithms that are useful to practical and large-scale optimization problems in machine learning. Besides high-level overview of each aspect, the talk provides pointers to key references. Topics covered are:

  • First-order Methods
  • Stochastic and Incremental Gradient Methods
  • Shrinking/Thresholding for Regularized Formulations
  • Optimal Manifolds Identification and High-Order Methods
  • Decomposition and Coordinate Relaxation

Also some tutorials/talks of interest from the long-term program “Modern Trends in Optimization and Its Application" (Sep – Dec 2010) in UCLA (provided the slides are released).

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