I taught this course in Spring, 2009 at Lehigh University. Feel free to use any of the material you find here, just drop me an email so that I know.
Course contents
- Theory of cone optimization (SDP, SOCP)
- Interior-point methods, implementation details
- Special problem structures
- Applications (combinatorial optimization, truss design, robust optimization)
Lecture slides
- Introduction
- Basics
- Special cases
- Duality
- Optimality
- Central path
- Newton system
- Neighbourhoods
- SOCP
- Software
- Input formats
- Preprocessing
Homework assignments
Exams
Suggested reading
Handbook of Semidefinite Programming - Theory, Algorithms, and Applications by Henry Wolkowicz, Romesh Saigal, Lieven Vandenberghe, eds. Published by Kluwer Academic Publishers. ISBN: 0-792-37771-0
Downloadable from Michael J. Todd's website in PS format.
Aspects of Semidefinite Programming: Interior Point Algorithms and Selected Applications by E. de Klerk, Published by Kluwer Academic Publishers. ISBN: 1-4020-0547-4
The PhD thesis of Jos Sturm: Primal dual interior point approach to semidefinite programming, Tilburg University, The Netherlands
The websites of Mike Todd, Pablo Parrilo and Christoph Helmberg.