Mathematical Programming Algorithms
Note that Matlab has a linprog function
- Geoffrey J. Gordon's notes. Lagrangian formulation of LP, relationship to saddle-point optimization, game theory, duality, log-barrier methods, and central path.
- Richard Weber's course notes.
- Kleitman course notes: chapters 26 and 27 and 28. An intuitive overview of Linear Programming, the Simplex algorithm, and Duality, with applications to Network Flow/Min-Cut.
- Luenberger, Linear and Nonlinear Programming, Ch.2-4.
- Vanderbei, Linear Programming: Foundations and Extensions, Ch.16-17.
- Strang, Linear Algebra and Its Applications, Ch.8. "Linear Programming and Game Theory."
The QP part of Garud Iyengar's lecture 8
Semi-definite and second-order cone programming
- L. Vandenberghe and S. Boyd. "Semidefinite Programming", SIAM Review 38, March 1996, pp. 49-95.
- M. Lobo, L. Vandenberghe, S. Boyd, and H. Lebret "Applications of second-order cone programming" Linear Algebra and its Applications, 284:193-228, November 1998,
General Convex Optimization
Convex Optimization, Stephen Boyd and Lieven Vandenberghe, available online.