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Convex analysis and optimization

Author: Dimitri P Bertsekas; Angelia Nedić; Asuman E Ozdaglar
Publisher: Belmont, Mass. : Athena Scientific, ©2003.
Series: Athena Scientific optimization and computation series.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
This book focuses on the theory of convex sets and functions, and its connections with a number of topics that span a broad range from continuous to discrete optimization. These topics include Lagrange multiplier theory, Lagrangian and conjugate/Fenchel duality, minimax theory, and nondifferentiable optimization. The book evolved from a set of lecture notes for a graduate course at M.I.T. It is widely recognized  Read more...
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Document Type: Book
All Authors / Contributors: Dimitri P Bertsekas; Angelia Nedić; Asuman E Ozdaglar
ISBN: 1886529450 9781886529458
OCLC Number: 52164213
Description: xv, 534 pages : illustrations ; 24 cm.
Contents: 1. Basic convexity concepts --
2. Convexity and optimization --
3. Polyhedral convexity --
4. Subgradients and constrained optimization --
5. Lagrange multipliers --
6. Lagrangian duality --
7. Conjugate duality --
8. Dual computational methods.
Series Title: Athena Scientific optimization and computation series.
Responsibility: Dimitri P. Bertsekas with Angelia Nedić and Asuman E. Ozdaglar.

Abstract:

This book focuses on the theory of convex sets and functions, and its connections with a number of topics that span a broad range from continuous to discrete optimization. These topics include Lagrange multiplier theory, Lagrangian and conjugate/Fenchel duality, minimax theory, and nondifferentiable optimization. The book evolved from a set of lecture notes for a graduate course at M.I.T. It is widely recognized that, aside from being an eminently useful subject in engineering, operations research, and economics, convexity is an excellent vehicle for assimilating some of the basic concepts of real analysis within an intuitive geometrical setting. Unfortunately, the subject's coverage in academic curricula is scant and incidental. We believe that at least part of the reason is the shortage of textbooks that are suitable for classroom instruction, particularly for nonmathematics majors. We have therefore tried to make convex analysis accessible to a broader audience by emphasizing its geometrical character, while maintaining mathematical rigor. We have included as many insightful illustrations as possible, and we have used geometric visualization as a principal tool for maintaining the students' interest in mathematical proofs. Our treatment of convexity theory is quite comprehensive, with all major aspects of the subject receiving substantial treatment. The mathematical prerequisites are a course in linear algebra and a course in real analysis in finite dimensional spaces (which is the exclusive setting of the book). A summary of this material, without proofs, is provided in Section 1.1. The coverage of the theory has been significantly extended in the exercises, which represent a major component of the book. Detailed solutions of all the exercises (nearly 200 pages) are internet-posted in the book's www page. --

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