## IAM-PIMS-MITACS Distinguished Colloquium Series: Stephen Wright (University of Wisconsin)

- Date: 04/04/2011

University of British Columbia

Sparse Optimization Algorithms and Applications

In many applications of optimization, an exact solution is less useful

than a simple, well structured approximate solution. An example is found

in compressed sensing, where we prefer a sparse signal (e.g. containing

few frequencies) that matches the observations well to a more complex

signal that matches the observations even more closely. The need for

simple, approximate solutions has a profound effect on the way that

optimization problems are formulated and solved. Regularization terms

can be introduced into the formulation to induce the desired structure,

but such terms are often nonsmooth and thus may complicate the

algorithms. On the other hand, an algorithm that is too slow for finding

exact solutions may become competitive and even superior when we need

only an approximate solution. In this talk we outline the range of

applications of sparse optimization, then sketch some techniques for

formulating and solving such problems, with a particular focus on

applications such as compressed sensing and data analysis.

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*Steve Wright is a Professor in the Computer Sciences Department at
University of Wisconsin in Madison, with an additional appointment in
the Department of Industrial and Systems Engineering. He is a member of
the Optimization Group, the Decision Science/Operations Research Group,
and the Committee on Optimization and its Applications at UW-Madison. He
also serves as Chair of the Mathematical Optimization Society (formerly
Mathematical Programming Society) and is a member of the Board of
Trustees of the Society for Industrial and Applied Mathematics. Steve's
research interests include algorithms for nonlinear optimization, as
well as applications of optimization to signal and image processing,
process control, computational statistics, computational biology, cancer
radiotherapy, weather forecasting, and other areas. He is also involved
in the development of optimization and compressed sensing software.
*

3:00pm-4:00pm, LSK 301

This is the 6th lecture of the 2010-11 IAM-PIMS-MITACS

Distinguished Colloquium Series. For full details, visit: