Winter 2019:  CAAM 31015=STAT 31015, TTIC 31070, BUSN 36903, CMSC 35470

Course:  CAAM 31015=STAT 31015, TTIC 31070, BUSN 36903, CMSC 35470

Title:  Mathematical Computation IIA: Convex Optimization

Instructor(s):  Mihai Anitescu

Teaching Assistant(s):  You-Lin Chen and Zhisheng Xiao

Class Schedule:  Sec 01: MW 3:00 PM–4:20 PM in Saieh 203

Textbook(s):  Boyd, Convex Optimization

Prerequisite(s):  STAT 30900/CMSC 37810

Description:  This course covers the fundamentals of convex optimization. Topics will include basic convex geometry and convex analysis, KKT condition, Fenchel and Lagrange duality theory; six standard convex optimization problems and their properties and applications: linear programming, geometric programming, second-order cone programming, semidefinite programming, linearly and quadratically constrained quadratic programming. In the last part of the course we will examine the generalized moment problem — a powerful technique that allows one to encode a wide variety of problems (in probability, statistics, control theory, financial mathematics, signal processing, etc) and solve them or their relaxations as convex optimization problems.