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Convex optimization

This course concentrates on recognizing and solving convex optimization problems that arise in applications.

The syllabus includes:

  • Convex sets, functions, and optimization problems.
  • Basics of convex analysis.
  • Least-squares, linear and quadratic programs, semidefinite programming, minimax, extremal volume, and other problems.
  • Optimality conditions, duality theory, theorems of alternative, and applications.
  • Interior-point methods.
  • Applications to signal processing, statistics and machine learning, control and mechanical engineering, digital and analog circuit design, and finance.

EdX: Convex optimization.