Lecture 19 | Perturbation and Sensitivity Analysis | Convex Optimization by Dr. Ahmad Bazzi

Ahmad Bazzi
Ahmad Bazzi
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In Lecture 19 of this course on Convex Optimization, we talk about Perturbation and Sensitivity Analysis of general and convex optimization problems.
This lecture is outlined as follows:

00:00 Intro  
02:34 Perturbed Optimization Problem
16:33 Global Perturbation Behavior
37:35 Local Perturbation Behavior
49:36 Shadow Price Interpretation
53:40 Outro
 
Lecture Notes: https://bazziahmad.com/2020/11/16/per...
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Lecture 1 | Introduction to Convex Optimization: Lecture 1 | Convex Optimization | Int...    
Lecture 2 | Convex Sets: Lecture 2 | Convex Sets | Convex Opti...    
Lecture 3 | Convex Functions: Lecture 3 | Convex Functions | Convex...  
Lecture 4 | Convex Optimization Principles : Lecture 4 | Convex Optimization Princ...    
Lecture 5 | Linear Programming & SIMPLEX algorithm w MATLAB: Lecture 5 | Linear Programming & SIMP...  
Lecture 6 | Quadratic Programs: Lecture 6 | Quadratic Programs | Conv...  
Lecture 7 | Quadratically Constrained Quadratic Programs: Lecture 7 | Quadratically Constrained...
Lecture 8 | Second Order Cone Programming: Lecture 8 | Second Order Cone Program...  
Lecture 9 | Geometric Programs: Lecture 9 | Geometric Programs (GP) |...
Lecture 10 | Generalized Geometric Programs: Lecture 10 | Generalized Geometric Pr...
Lecture 11 | SemiDefinite Programming Lecture 11 | Semidefinite Programming...
Lecture 12 | Vector and Multicriterion Optimization | Pareto Optimal points and the Pareto Frontier Lecture 12 | Vector and Multicriterio...
Lecture 13 | Optimal Trade-off Analysis  Lecture 13 | Optimal Trade-off Analys...
Lecture 14 | Lagrange Dual Function Lecture 14 | Lagrange Dual Function |...
Lecture 15 | Lagrange Dual Problem Lecture 15 | Lagrange Dual Problem | ...
Lecture 16 | Certificate of Suboptimality Lecture 16 | Certificate of Suboptima...
Lecture 17 | Complementary Slackness Lecture 17 | Complementary Slackness ...
Lecture 18 | KKT Conditions Lecture 18 | KKT Conditions | Convex ...
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References:
[1] Boyd, Stephen, and Lieven Vandenberghe. Convex optimization. Cambridge university press, 2004.
[2] Nesterov, Yurii. Introductory lectures on convex optimization: A basic course. Vol. 87. Springer Science & Business Media, 2013.
Reference no. 3:
[3] Ben-Tal, Ahron, and Arkadi Nemirovski. Lectures on modern convex optimization: analysis, algorithms, and engineering applications. Vol. 2. Siam, 2001.
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Instructor: Dr. Ahmad Bazzi
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Credits :
Microsoft OneNote: https://products.office.com/en-gb/one...

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