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CO463/663
Winter 2018
Convex Optimization and Analysis
"The great watershed in optimization is not between linearity and nonlinearity, but convexity and nonconvexity." (
Rockafellar, 1993
.)
Instructor
Henry Wolkowicz
(MC6065, x35589)
The course is self-contained but uses basic linear algebra (vector spaces/inner-products/basic matrix factorizations/eigen-decompositions) and basic calculus (Taylor series/Implicit function Theorem/continuity/convergence).
Handouts
Syllabus
Course/Marking
Links/Announcements
Sample problems/solutions MIT Convex Anal.
Fundamentals of Lin. Alg. and Opt., ebook
A new algorithm that minimizes anything/everything
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Time:T-R 2:30-4:00PM; from Thurs. Jan. 4 to Tues. Apr. 3.
Location:
DWE 3519
Instructor Office Hour: 2-3 Wed. in MC6312 (or after class Tues/Thurs)
TA: Stefan Sremac, Office Hour: MC 6011, Wed. 1PM.
FINAL EXAM: Monday April 9, 2018, 7:30-10:00PM, location MC 4064
Text:
J.-B. Hiriart-Urruty and C. Lemaréchal,
Fundamentals of Convex Analysis
, Springer, 2001
(available at reserve desk; 3 hour reserve)
Further References
Latest Course Notes are updated after the lectures and are available at the
LEARN webpage
.
(Note that these notes are changing during the semester.)
Marking Scheme:
HW 50%; Final 50%; Final exam on ?????? ??????, 2018, at ??????location TBA).
HOMEWORK
Expect 6 assignments - to be submitted at the beginning of the class stated on the assignment.
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Last Modified: Friday 9 February 2018