A reference to learn about duality

Question

I am interested in learning about duality in convex optimization. I am looking for something to read which is:

1. Reasonably short.
2. Fairly self-contained (if it is a chapter in a textbook, I would like to be able to read it without having first to read the preceeding chapters).
3. Mathematically rigorous: everything is proved.
4. Well-written, i.e., does not take ages to parse.

The first one is particularly important for me - I am looking for something I can learn in a few days. The best I have found so far is the chapter on duality in Boyd & Vandenberghe. Does anyone have any other recommendations?

Answer 1

Convex Analysis by R.T. Rockafellar. It's complete, rigorous, and considered the standard reference for all things convex.

I should add, however, that it is a reference book and not necessarily a "text book". It occasionally fails a little bit on your requirement of "taking a while to parse," but that's sometimes the expense of a complete and rigorous text.