A tutorial on convex optimization II: duality and interior point methods

Abstract

In recent years, convex optimization has become a computational tool of central importance in engineering, thanks to its ability to solve very large, practical engineering problems reliably and efficiently. The goal of this tutorial is to continue the overview of modern convex optimization from where our ACC2004 Tutorial on Convex Optimization left off, to cover important topics that were omitted there due to lack of space and time, and highlight the intimate connections between them. The topics of duality and interior point algorithms will be our focus, along with simple examples. The material in this tutorial is excerpted from the recent book on convex optimization, by Boyd and Vandenberghe, who have made available a large amount of free course material and freely available software. These can be downloaded and used immediately by the reader both for self-study and to solve real problems