CO 463/663 Convex Optimization and Analysis: Syllabus (Winter 2020)

Proposed Schedule

Week 1: Jan. 8/10 ......... .........	Introduction, Convex sets, convex hulls
Week 2: Jan. 15/17	Extreme points and projections
Week 3: Jan. 22/24	Separation
Week 4: Jan. 29/31	Tangent and normal cones
Week 5: Feb. 5/7	Convex functions
Week 6: Feb. 12/14	Differentiable convex functions
Week 7: Feb. 17-21	NO LECTURES - Family Day and READING WEEK
Week 8: Feb. 26/28	Sublinear functions and norms
Week 9: Mar. 4/6	Subdifferentials and set-valued functions
Week 10: Mar. 11/13	Conjugation
Week 11: Mar. 18/20	KKT conditions for convex optimization
Week 12: Mar. 25/27	Numerical methods for convex optimization
Week 13: Apr. 1/3	Semidefinite programming

Suggested References

J.-B. Hiriart-Urruty and C. Lemarechal, Fundamentals of Convex Analysis, Springer (main reference)
Stephen Boyd and Lieven Vandenberghe, Convex Optimization, Cambridge University Press

Prerequisites

Students should have a basic knowledge of linear algebra and calculus. Some basic background on an optimization problem is helpful. The course is self-contained.

Henry Wolkowicz, Department of Combinatorics and Optimization, University of Waterloo, 200 University Ave. W., Waterloo, ON N2L 3G1.