769F: Convex Optimization
Convex analysis and optimization have been well studied for several decades, as a subdiscipline of applied mathematics. In recent years, the interest in convex optimization has surged, mainly for two reasons: (i) the development, since the mid-1980s, of interior-point methods, which proved very powerful for the solution of a large class of convex optimization problems; (ii) the realization that many more practical problems than previously thought can be cast as convex optimization problems. The goal of this course is to introduce students to the state of the art in convex optimization, in particular to the fundamentals of interior-point methods, enabling them to pursue research in convex optimization, and to apply recent and future research results to specific application areas.
ENEE 664, or equivalent.
The course assumes a solid background in linear algebra and advanced calculus, preferably including elements of convex analysis and of optimization theory.
No textbook will be used. A good reference for much of the course is:
Grading Method:Homework 40%;
Instructor's general impression: 20%.
6 July 2006, Andre Tits