Modern Convex Optimization
Course Description:
Theory and algorithms for constrained convex optimization including optimality conditions, duality theory, applications, interior-point methods, penalty and barrier methods.
Textbooks:
- Convex Optimization, by Stephen Boyd and Lieven Vandenberghe. Cambridge University Press. ISBN: 9780521833783
- Combinatorial and Algorithmic Mathematics: From Foundation to Optimization, by Baha Alzalg. John Wiley & Sons. ISBN: 9781394235940.
Topic Outline and Schedule:
The following is a rough plan. As the course progresses, I may include
new topics and/or delete some of the ones listed here.
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Topics
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Weeks
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1. Convexity, Polyhedra and Cones, Farkas’ Lemma
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1
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2. Analysis of Algorithms
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2, 3
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3. Matrix/Array and Numeric Algorithms
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4
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4. Linear Programming
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5-7
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5. General Convex Programming
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8-10
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6. Second-Order Cone Programming
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11-13
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7. Semidefinte Programming
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14-16
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