If you're looking for something less pricey... I highly recommend Stephen Boyd's book (free here: http://www.stanford.edu/~boyd/cvxbook/ http://www.stanford.edu

If you're looking for something less pricey... I highly recommend Stephen Boyd's book (free here: http://www.stanford.edu/~boyd/cvxbook/ http://www.stanford.edu/~boyd/cvxbook/), as well as his cvx matlab toolbox. There are also some video lectures which might be less mind-numbing (http://www.stanford.edu/class/ee364a/index.html http://www.stanford.edu/class/ee364a/index.html).