SOCP

Second-Order Cone Problems (SOCP)

$\mathbf{f^T x \to min}$

subjected to

$\mathbf{lb \le x \le ub}$

$\mathbf{A} \mathbf{x} \le \mathbf{b}$

$\mathbf{A}_\mathbf{eq} \mathbf{x} = \mathbf{b}_\mathbf{eq}$

$\mathbf{\forall i = 0,\dots,I: \lVert C_i x + d_i \rVert_2 \leq q_i^T x + s_i}$

$x,\ f \in \mathbb{R}^n$

$C_i \in \mathbb{R}^{{m_i}\times n}, \ d_i \in \mathbb{R}^{m_i}$

$q_i \in \mathbb{R}^n, \ s_i \in \mathbb{R}$

$A_{eq} \in \mathbb{R}^{p_{eq}\times n}, \ b_{eq} \in \mathbb{R}^{p_{eq}}$

attention: OO versions <= 0.31 has bug with handling lb and ub

SOCP solvers connected to OpenOpt:

Solver	License	Info
cvxopt_socp	GPL3	requires CVXOPT installation
FuturePlans: mosek, cplex	commercial

See also: