Second-order cone programming solver
The coneprog
function is a second-order cone programming
solver that finds the minimum of a problem specified by
subject to the constraints
f, x, b, beq,
lb, and ub are vectors, and A and
Aeq are matrices. For each i, the matrix
Asc(i), vectors
dsc(i) and
bsc(i), and scalar
γ(i) are in a second-order cone constraint that you
create using secondordercone
.
For more details about cone constraints, see Second-Order Cone Constraint.
solves the second-order cone programming problem with the constraints in
x
= coneprog(f
,socConstraints
)socConstraints
encoded as
Asc(i) =
socConstraints.A(i)
bsc(i) =
socConstraints.b(i)
dsc(i) =
socConstraints.d(i)
γ(i) =
socConstraints.gamma(i)
The algorithm uses an interior-point method. For details, see Second-Order Cone Programming Algorithm.
The Optimize Live Editor task provides a visual interface for coneprog
.
linprog
| Optimize | quadprog
| secondordercone
| SecondOrderConeConstraint