Convex Optimization

This course deals with the theory, applications and algorithms of convex optimization. It focuses on recognizing and solving convex optimization problems that arise in many engineering fields. It is divided into three parts; theory, applications, and algorithms. The theory part covers the basics of convex analysis and convex optimization problems such as linear programming (LP), semidefinite programming (SDP), second order cone programming (SOCP), and geometric programming (GP), as well as duality in general convex and conic optimization problems. In the next part of the course, we will focus on engineering applications of convex optimization, from systems and control theory to estimation, data fitting, and information theory. Finally, in the last part of the course we discuss the details of interior point algorithms.