Duke University
The Fuqua School of Business

BA591.01: Convex Optimization

Fall 2009-10


Course information

Instructor: David B. Brown

Lectures:

Time: Thursday, 1:30-4:00pm
Location: DeSanctis Seminar Room

Course description

Convex optimization problems arise naturally in a broad spectrum of applications, such as economics, engineering, finance, operations research, and statistics. The goal of this course is to provide a solid foundation in the principles of convex optimization. The treatment will be geared largely towards the modeling power and geometric structure of convex optimization problems with a particular emphasis on duality. The first half of the course will examine the important case of linear optimization in-depth, and towards the end we will explore classes of convex problems that have received more attention recently as well as methods for dealing with uncertainty. Throughout the class we will touch upon a number of applications from the above domains. In the final class students will have the opportunity to present a topic (e.g., an existing research paper or application) that relies on the principles developed in the course.

Handouts

Note: lecture notes only provided for substantial discussions that are not in the recommended text.

Homeworks

  • Homework 01
  • Homework 02 (data file: retail.mat)
  • Homework 03
  • Homework 04
  • Homework 05 (data file: center.mat)
  • Homework 06 (data file: portfolio.mat)
    Last updated: 11/12/09