This course covers topics in functional analysis that are critical to the study of convex optimization problems. The first part of the course will include the minimization theory for quadratic and convex functionals on convex sets and cones, the Legendre-Fenchel duality, variational inequalities and complementarity systems. The second part will include optimal stopping time problems in deterministic control, value functions and Hamilton-Jacobi inequalities and linear and quadratic programming, duality and Kuhn-Tucker multipliers. Other related topics will be covered at the instructor’s discretion.
Prerequisite Courses