IE 515
Convex Analysis Fall 2009
Instructor:
M. C. Pinar
Room:
305, ext. 1514
Office Hours:
Tuesdays 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.
-
Convex
Analysis and Variational Problems, I.
Ekeland
and R. Temam, Elsevier , 1976.
- 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(unauthorized cooperation or lifting answers from an online or printed source without due citation) in homework and exams has serious consequences.
Therefore, all work submitted should reflect your own effort.
Final Exam: You
may download the 2007 take-home final exam for this course here.
Grading
Homeworks: |
30 %
|
Midterm Test: |
30 % 2.11.2009
|
Final: |
40 % January 5, 2010, Tuesday, 1-5 pm, Open notes.
|