Thursday, September 8, 2011

Conference in Honor of Etienne Loute

Yesterday, I was at a conference honoring Etienne Loute where I presented the talk: "Convex Optimization : Conic Versus Functional Form". The messages of the talk is if you can formulate an optimization problem as a conic quadratic optimization problem (aka SOCP) then there are many good reasons to prefer this form over other forms. Some reasons are:
  • Conic quadratic problems are convex construction.
  • They are almost as simple as LPs to deal with in software.
  • Duality theory is almost as simple as the linear case.
  • The (Nesterov-Todd) primal-dual algorithm for conic quadratic problems is extremely good.

I had feared that the distinguished audience would consider my talk too simple. However, the speaker before me was Bob Fourer of AMPL. The title of his talk was about checking convexity of general optimization problems formulated in AMPL and it had two parts. The first part was about checking convexity and the second part was about how you in some cases automatically could convert optimization problems on functional form to a conic quadratic optimization problem. So the two talks complemented each other very well and it made me feel better about my talk.

Finally, I would like to mention that Yurii Nesterov was one of the speakers. He must have enjoyed the day since two speakers was talking about his baby named optimization over symmetric cones.

2 comments:

  1. Do you know if there is a link to Bob Fourer's talk? It sounds like he's finally discovering CVX's secret sauce :) I would be very pleased if that's making its way into AMPL.

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  2. Sorry about the late reply. I bet if you ask Bob you can get copy.

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