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Linear and Convex Optimization

Module MA2504

This Module is offered by TUM Department of Mathematics.

This module handbook serves to describe contents, learning outcome, methods and examination type as well as linking to current dates for courses and module examination in the respective sections.

Module version of WS 2020/1 (current)

There are historic module descriptions of this module. A module description is valid until replaced by a newer one.

Whether the module’s courses are offered during a specific semester is listed in the section Courses, Learning and Teaching Methods and Literature below.

available module versions
WS 2020/1SS 2020WS 2018/9WS 2011/2SS 2011

Basic Information

MA2504 is a semester module in English language at Master’s level which is offered in summer semester.

This Module is included in the following catalogues within the study programs in physics.

  • Catalogue of non-physics elective courses
Total workloadContact hoursCredits (ECTS)
270 h 90 h 9 CP

Content, Learning Outcome and Preconditions


convex sets, convex functions, projection, separation, subdifferential, optimality conditions, polyhedra, linear optimization problems, duality, (dual) simplex algorithm, Karush-Kuhn-Tucker conditions, selected applications and further topics of convex analysis and linear optimization

Learning Outcome

After successful completion of the module students are able to understand and apply the basic notions, concepts, and methods of convex analysis and linear optimization. Moreover, they are familiar with the underlying geometry and can model problems arising in practice. In particular, they understand duality concepts, can derive optimality conditions and understand optimization algorithm for linear optimization problems, i.e the dual simplex algorithm.


MA1001 Analysis 1, MA1002 Analysis 2, MA1101 Linear Algebra and Discrete Structures 1, MA1102 Linear Algebra and Discrete Structures 2,
Helpful: MA2501 Algorithmic Discrete Mathematics, MA2503 Introduction to Nonlinear Optimization
Bachelor 2019: MA0001 Analysis 1, MA0002 Analysis 2, MA0004 Lineare Algebra und Diskrete Strukturen 1, MA0005 Lineare Algebra 2 und Diskrete Strukturen

Courses, Learning and Teaching Methods and Literature

Courses and Schedule

Please keep in mind that course announcements are regularly only completed in the semester before.

Learning and Teaching Methods

The module is offered as lectures with accompanying practice sessions. In the lectures, the contents will be presented in a talk with demonstrative examples, as well as through discussion with the students. The lectures should animate the students to carry out their own analysis of the themes presented and to independently study the relevant literature. Corresponding to each lecture, practice sessions will be offered, in which exercise sheets and solutions will be available. In this way, students can deepen their understanding of the methods and concepts taught in the lectures and independently check their progress. At the beginning of the module, the practice sessions will be offered under guidance, but during the term the sessions will become more independent, and intensify learning individually as well as in small groups.


blackboard, exercise sheets


P. Gritzmann. Grundlagen der mathematischen Optimierung, Springer, 2013.
D. P. Bertsekas, A. Nedic, A. E. Ozdaglar. Convex Analysis and Optimization, Athena Scientific, 2003.
D. Bertsimas, J. N. Tsitsiklis. Introduction to Linear Optimization, Athena Scientific, 1997.
G. B. Dantzig, M. N. Thapa. Linear Programming 1: Introduction. Springer, 1997.
J.-B. Hiriart-Urruty, C. Lemarechal. Fundamentals of Convex Analysis, Springer, 2001.
C. H. Papadimitriou, K. Steiglitz. Combinatorial Optimization: Algorithms and Complexity. Dover, 1998.
R. T. Rockafellar. Convex Analysis, Princeton University Press, 1970.
A. Schrijver. Theory of Linear and Integer Programming. Wiley, 1986.
R. J. Vanderbei. Linear Programming, Foundations and Extensions, Springer, 2008.

Module Exam

Description of exams and course work

Aktueller Hinweis angesichts des eingeschränkten Präsenzbetriebs auf Grund der CoViD19-Pandemie: Die Prüfungsform ändert sich gemäß §13a APSO einmalig auf das Prüfungsformat: einmalige Übungsleistung.
In dieser wird überprüft, inwieweit die Studierenden die grundlegenden Konzepte und Methoden der konvexen Analysis und linearen Optimierung kennen und mit der zugrundeliegenden Geometrie vertraut sind sowie in der Praxis auftretende Probleme angemessen modellieren können.

Exam Repetition

The exam may be repeated at the end of the semester.

Current exam dates

Currently TUMonline lists the following exam dates. In addition to the general information above please refer to the current information given during the course.

Linear and Convex Optimization
Tue, 2020-10-06, 11:00 till 12:30 Einmalige Übungsleistung till 2020-09-21 (cancelation of registration till 2020-09-29)
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