IE 515
Convex Analysis Spring 2007
Instructor:
M. C. Pinar
Room:
305
Office Hours:
Mondays 2-5pm.
Reference
Material, Textbooks and Online Resources:
- Convex Analysis by
R.T. Rockafellar, Princeton University Press, 1970.
- Convex
Optimization, S.
Boyd
and L. Vandenberghe, Cambridge Univ. Press, 2004.
- Fundamentals
of Convex Analysis, by J.B. Hirriart-Urruty
and C. Lemarechal, Springer-Verlag, 2001.
- Convex
Analysis: An Introductory Text, by Jan van Tiel, John Wiley and
Sons, 1984.
- Convex
Analysis and Optimization: Lecture Notes by
A. Nemirovski, Technion.
- Chapter 1 of Convex
Bodies: The Brunn-Minkowski Theory, by R. Schneider, Cambridge
Univ. Press, 1993
- Introduction
to Convex and Quasi-Convex Analysis, by J.B.G. Frenk
and G. Kassay, 2001.
The material listed
above is for students' reference. The course will be based on the
instructor's notes. The course will make a self-contained introduction
to convex analysis. The homework questions will be selected from
applications in economics, finance, electrical engineering and the like.
Course Contents:
- Convex sets and
functions on R
- Convex Subsets
of a Linear Space
- Separation
Theorems
- Convex Subsets
of R^n
- Convex Functions
on a Linear Subspace
- Duality
- Optimization
Policy on Homework and Exams
- Your success in the course depends greatly on doing the homework
exercises on your own.
- I will distribute the hw questions in class, usually on
Wednesdays.
- Late hws will not be accepted.
- Cheating in homework and exams has serious consequences.
Therefore, all work submitted should reflect your own effort.
Final Exam: You
may download the exam here.
Grading
Homeworks: |
40 %
|
Midterm Test: |
30 % 23.3.2007
|
Final: |
30 % 18.5.2007 Take-home
|