Invited Courses

After the two invited courses in Winter 2016 and the two in Winter 2017, the Optimization Master Program is pleased to announce two new courses scheduled in 2019.

Advanced Convex Optimization - 2019

Claudia Sagastizabal (IMPA, Rio de Janeiro, Brazil) will give a series of lectures (10h) on Bundle methods.
Schedule : January 2019, at Ecole Polytechnique.

Stochastic Programming : Modeling and Theory

Alexander Shapiro (GeorgiaTech, USA) will give a series of lectures on stochastic optimization. Schedule : March 2019.

All courses are open to all interested persons and mainly target M2 and PhD students, as well as researchers from academics or R&D. They are funded by PGMO (EDF & FMJH).

Past courses

Advanced Convex Optimization - 2018

Jacek Gondzio (Univ. Edinburgh, UK) will give a series of lectures (10h) on Interior Point Methods for Very Large Scale Optimization.
Schedule : January 24, 25 and 26, at Ecole Polytechnique. Wednesday and Thursday : Amphi Becquerel 10h00-12h00, + 14h00-16h00 ; Friday, Amphi Monge 10h00-13h00 Warning : the last lecture will last longer
Poster of the lectures PDF

Content : Interior point methods (IPMs) have been around for 30 years and have completely changed the field of optimization. In this series of lectures we will focus on major features responsible for the spectacular efficiency of IPMs when applied to the solution of very large problems. Those include :

  • nice properties (self-concordance) of logarithmic barriers which deliver the polynomial complexity of IPMs,
  • a unified view of IPMs for linear, quadratic, convex nonlinear, second-order cone and semidefinite programming. If time permits we will also briefly comment on the most spectacular applications of IPMs.

The course will be delivered in five 2-hour lectures :

  • Duality
  • Interior Point Methods for LP
  • Interior Point Methods for QP and (convex) NLP
  • Linear Algebra in IPMs
  • Second-Order Cone Programming (SOCP) and SemiDefinite Programming (SDP)

Slides : PDFPDFPDFPDFPDF

Registration is compulsory, do it here

Bandit Convex Optimization

Sébastien Bubeck (Microsoft Research, USA) gave a series of lectures (10h) in March 2017.
Preliminary Schedule : March 13-14, 10am-12.30pm + 2pm-4.30pm.
The courses will be held at Ecole Polytechnique in Amphi Becquerel.

Lecture 1 : Introduction to regret. Game theoretic viewpoint (duality,
Bayesian version of the game) and derivation of the minimax regret via
geometry of martingales (brief recall of type/cotype and entropic proof
for ell_1).

Lecture 2 : Introduction to the mirror descent algorithm. Connections
with competitive analysis in online computations will also be discussed.

Lecture 3 : Bandit Linear Optimization. Two proofs of optimal regret : one
via low-rank decomposition in the information theoretic argument, and
the other via mirror descent with self-concordant barriers.

Lecture 4 : Bandit Convex optimization 1. Kernel methods for online
learning, Bernoulli convolution based kernel. 2. Gaussian approximation
of Bernoulli convolutions, and restart type strategies.

The lectures were given at the blackboard, and videorecorded (soon available). Slides concerning the content of the lectures are available here PDF.

Videos are also available !! Here is the first one

Advanced Convex Optimization - 2017

Marc Teboulle (Univ. Tel Aviv, Israel) gave a series of lectures (10h) on First Order Optimization Methods.
Schedule : Jan 25, Jan 26, 9.30am-12.30pm + 2pm-4pm. The courses will be held at Ecole Polytechnique (Amphi Poisson).
More details and abstract : see here PDF.
Registration is free but mandatory, including for students of the master 2 : please register here
Poster of the lectures PDF.

The slides of the lectures are available here and here.

Complexity and Algorithmic Game Theory

Costis Daskalakis (MIT, USA) will give a series of lectures (10h) in March 2017.
Schedule : March 21-22, 10am-12noon + 1.30pm-4.45pm (with 15’ break). The courses will be held at Ecole Polytechnique.
More details and abstract : see here PDF.
Registration is free but mandatory, including for students of the master 2 : please register here
Poster of the lectures PDF.
For the slides of the lecturess, see the PGMO website (heavy files).

Advanced Convex Optimization - 2016

Yuri Nesterov (UC Louvain) : January, 20-22, Ecole Polytechnique, Amphi Lagarrigue.
Schedule : Jan 20th, 10-12, 14-16 ; Jan 21st, 10-12, 14-16 ; Jan 22nd 10-12.
More details and abstract : see here PDF.
Poster of the lectures PDF.

The course has been a success (more than 40 persons in the audience !).
Slides of the lectures : PDF

Moments, Positive Polynomials and Optimization

Jean-Bernard Lasserre (Toulouse) : February 29, March 1, 7 and 8, Ecole Polytechnique, Amphi Faurre.
Schedule : Feb 29th 14-16 ; Mar 1st 10-12, 14-16 ; Mar 7th 14-16 ; Mar 8th 10-12, 14-16.
More details and abstract : see here PDF.
Poster of the lectures PDF.

Slides of the first week PDFPDFPDFPDF.
Second week PDFPDFPDFPDF.