Convex Optimization for Control, 8 credits

Course type

Advanced course

Periodicity

Irregular

Intended audience

Students who want to get an introduction to convex optimization with emphasis on applications in control.

Contents

The course is based on material developed by Stephen Boyd at Stanford University and Lieven Vandenberghe at UCLA. A more detailed description of the contents is given in the schedule.

Organization

There will be 12 lectures. The students are expected to participate in 4 exercise sessions, solve 2 home work problems and carry out a project. There is a final exam. It is compulsory to attend the lectures and the exercise sessions.

Schedule

Wednesdays 15-17 in Glashuset, ISY (B Building, entrance 25) starting March 17. There are a few exceptions, see detailed schedule.

Literature

We will mainly use the book Boyd, S. and L. Vandenberghe: "Convex Optimization", Cambridge University Press, 2004. Additional references are

• A. Ben-Tal and A. Nemerovski, Lectures on Modern Convex Optimization - Analysis, Algorithms, and Engineering Applications, MPS-SIAM Series on Optimization, MPS-SIAM.
• D. Bertsekas, Nonlinear Programming, Athena Scientific.
• D. Luenberger, Linear and Nonlinear Programming, Addison-Wesley.
• J. Nocedal and S. Wright, Numerical Optimization, Springer.
• H. Wolkowicz, R. Saigal, and L. Vandenberghe, Handbook of Semidefinite Programming: Theory, Algorithms, and Applications, Kluwer Academic Publishers.
• S. Boyd, L. El Ghaoui, E. Feron, and V. Balakrishnan, Linear Matrix Inequalities in System and Control Theory, SIAM.
• L. El Ghaoui, and S.-I. Niculescu, Advances in Linear Matrix Inequality Methods in Control, SIAM.

Software

Some tools are:

• Christoph Helmberg's web page on semidefinite programming, http://www.-user.tu-chemnitz.de/~helmberg/semidef.html
• Stephen Boyd's web page on software, http://www.stanford.edu/~boyd/software.html
• Johan Löfberg's YALMIP page, http:control.ee.ethz.ch/~joloef/wiki/pmwiki.php

Examiner

Anders Hansson, Department of Electrical Engineering (hansson@isy.liu.se, phone: +46 13 281681)

Exam

From 2010-06-24 until 2010-08-31 you may down-load the exam. After 36 hours you put the exam in an envelop, seal it, and hand it in. Exams should be handed in no later than 2010-08-31. Go get it