Convex Optimization Short Course

Materials for a short course given in various places:

• Machine Learning Summer School, Tubingen and Kyoto, 2015

• North American School of Information Theory, UCSD, 2015

• CUHK-SZ, Shenzhen, 2016

• SIST, Shanghai, 2016

• IMT, Lucca, 2016

• Seoul National University, 2018

• Beijing Jiatong University, 2019

The materials were updated in 2026 for a short course at IMT Lucca.

Lecture slides, marimo notebooks, and videos

• Convex optimization short course

• Convex optimization overview

  • Control

  • SVM classifier with \(\ell_1\) regularization

• Constructive convex analysis and disciplined convex programming

  • DCP analysis

  • Trade-off curves

• Convex optimization applications

  • Portfolio optimization

  • Worst-case risk analysis

  • Optimal advertising

  • Huber regression

  • Quantile regression

  • Model fitting

• Beyond convex optimization

  • Convex-concave procedure

  • Disciplined nonlinear programming

• Videos (MLSS, Tubingen)

  • Part I

  • Part II

  • Part III

• Exercises

Additional materials

• Convex Optimization (book)

• Additional exercises

• EE364a (course)

• CVX101 (MOOC)

• dcp.stanford.edu

Software

• CVX

• CVXPY

• Convex.jl

• CVXR