This term is devoted to basic theory of convex optimization and focuses on the tools to develop efficient numerical methods
- Introduction, convex sets & cones, relative interior
- Conjugate cones
- Matrix calculus and automatic differentiation. JAX demo
- Convex functions
- Subdifferential
- Simple optimality conditions
- Conjugate functions. Smoothing demo
- ККТ optimality conditions
- Intro to duality
- Linear programming and simplex method. Examples of using tableau simplex method