Descriptif
The course presents continuous optimization techniques that have been developed to deal with the increasing amount of data. In particular, we look at optimization problems that depend on large-scale datasets, spatially distributed data, as well as local private data.
We will focus on three different aspects: (1) the development of algorithms to decompose the problem into smaller problems that can be solved with some degree of coordination; (2) the trade- off of cooperation vs. local computation; (3) how to design algorithms that ensure privacy of sensitive data.
This course is open to students of the M2 "Data Sciences".
Objectifs pédagogiques
Understand the challenges in cooperative optimization for large-scale data applications.
effectifs minimal / maximal:
10/50Diplôme(s) concerné(s)
Pour les étudiants du diplôme Diplôme d'Ingénieur de l'Ecole Nationale Supérieure de Techniques Avancées
Previous course on convex optimization, especially first-order algorithms (gradient descent), optimality conditions (KKT), and duality. For ENSTA students : OPT201
Format des notes
Numérique sur 20Littérale/grade européenPour les étudiants du diplôme Diplôme d'Ingénieur de l'Ecole Nationale Supérieure de Techniques Avancées
Vos modalités d'acquisition :
- le rattrapage est obligatoire si :
- Note initiale < 6
- le rattrapage peut être demandé par l'étudiant si :
- 6 ≤ note initiale < 10
- Crédits ECTS acquis : 1.5 ECTS
- Scientifique acquis : 1.5
Le coefficient de l'UE est : 1
La note obtenue rentre dans le calcul de votre GPA.
L'UE est évaluée par les étudiants.
Programme détaillé
Tentative plan.
#1 Class. Introduction: recap on convex models and algorithms. A model for a network of communicating and computing nodes. Parallel methods in optimization: Gauss method, Jacobi method, incremental methods. Consensus optimization problem.
#2 Class. Distributed optimization (I): primal methods: gradient and gradient tracking. Communication vs. computation trade-off, network scaling.
#3 Class. Distributed optimization (II): dual methods: dual decomposition, ADMM; primal-dual methods and networked problems. Possible example in large-scale smart grids.
#4 Class. Federated optimization (I): the setting and the problem, its relation with distributed optimization and the main differences. Federated averaging and other momentum-based first- order algorithms.
#5 Class. Federated optimization (II): Robustness, Communication vs. computation trade-off, network scaling, relaxations, acceleration, personalization. Possible example with real-data.
#6 Class. Privacy issues in optimization: the concept of privacy and how to enforce it. Differential privacy in distributed optimization and federated optimization. Data attacks, robustness.