Course: STAT 31015=TTIC 31070, BUSN 36903, CAAM 31015, CMSC 35470
Title: Mathematical Computation IIA: Convex Optimization
Instructor(s): Hongyuan Mei
Teaching Assistant(s): TBA
Class Schedule: Sec 1: TR 3:30 PM–4:50 PM in TTIC 530
Textbook(s): Boyd, Convex Optimization
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.
Prerequisite(s): STAT 30900/CMSC 37810