Convex optimization for statistical and machine learning with CVXR

Speaker: Anqi Fu

Optimisation plays an important role in fitting many statistical models. In this workshop, Dr Anqi Fu will introduce convex optimization using examples from ordinary least squares and penalized regression. This will be followed by a high-level description of CVXR, how it differs from other packages, and a discussion of the domain specific language that CVXR implements. We will show how CVXR works on different classes of problems, such as linear programs, quadratic programs, and semidefinite programs, and demonstrate its usage with a variety of examples. Finally, we will have a segment for potential developers in which we go over the nuts and bolts of adding new functions to CVXR’s library.