A rst course in Optimization

Prerequisite: Most notions are recalled during the course but some familiarity with basic facts is preferable. Basic Calculus Elementary notions of linear algebra Elementary dierential calculus Basic notions in real analysis : supremum/inmum, limits, continuity of functions, closed/open sets, compact sets Contents: I Unconstrained Optimization Presentation of the general problem Dierentiability, Gradient, First-order condition / Fermats Rule Second-order conditions II Constrained optimization Existence/uniqueness theorem General notions: normal cones, tangent cones First-order and second-order conditions in terms of normal/tangent cones III Convexity Convex sets Convex functions, elementary properties Existence/uniqueness theorem IV Convex optimization Farkas Lemma Lagrange/KKT Conditions & Examples V Nonlinear programming Submanifolds basic denitions/properties Implicit function theorem Lagrange conditions & Examples Keywords for online resources: Nonlinear programming, Convex minimization, Optimization, Optimization for economics, Lagrange conditions, KKT (Karush-Kuhn-Tucker) conditions 1

Some references: J.-C. Rochet, Optimization for economists: A geometric Approach; TSE Lectures, 2009. Sundaram, Rangarajan K. A rst course in optimization theory. Cambridge University Press, Cambridge, 1996. xviii+357 pp. More involved material: Bonnans F., Optimisation continue, Dunod, 2006. Borwein, J., Lewis, A.S., Convex Analysis and Nonlinear Optimization, Springer-Verlag 2000. Ciarlet, P.-G, Introduction ` a lanalyse matricielle et ` a loptimisation, Masson, Paris, 1988. Fixed point theory Border, K.C., Fixed point theorems with applications to economics and game theory, Cambridge University Press, 1985.