The Entropic Barrier: A Simple and Optimal Universal Self-Concordant Barrier

Wednesday, February 25, 2015 - 9:00am - 9:50am
Keller 3-180
Sébastien Bubeck (Microsoft)
A fundamental result in the theory of Interior Point Methods is Nesterov and Nemirovski's construction of a universal self-concordant barrier. In this talk I will introduce the entropic barrier, a new (and in some sense optimal) universal self-concordant barrier. The entropic barrier connects many topics of interest in Machine Learning: exponential families, convex duality, log-concave distributions, Mirror Descent, and exponential weights.
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