demo/LPCC.R

In cccp: Cone Constrained Convex Problems

##
## Demo for solving a Linear Program with NNO, SOC and PSD constraints
## (Example taken from cvxopt's userguide)
##
## Creating LP
q <- c(-6, -4, -5)
## NNO constraint
G <- matrix(c(16, -14, 5,
              7, 2, 0),
            nrow = 2, ncol = 3, byrow = TRUE)
h <- c(-3, 5)
nno1 <- nnoc(G = G, h = h)
## SOC constraint
F1 <- matrix(c(8, 13, -12,
               -8, 18, 6,
               1, -3, -17),
             nrow = 3, ncol = 3, byrow = TRUE)
g1 <- c(-2, -14, -13)
d1 <- c(-24, -7, 15)
f1 <- 12
soc1 <- socc(F = F1, g = g1, d = d1, f = f1)
## PSD constraint
F1 <- matrix(c(7, -5, 1,
                -5, 1, -7,
                1, -7, -4),
              nrow = 3, ncol = 3, byrow = TRUE)
F2 <- matrix(c(3, 13, -6,
                13, 12, -10,
                -6, -10, -28),
              nrow = 3, ncol = 3, byrow = TRUE)
F3 <- matrix(c(9, 6, -6,
                6, -7, -7,
                -6, -7, -11),
              nrow = 3, ncol = 3, byrow = TRUE) 
F0 <- matrix(c(68, -30, -19,
                -30, 99, 23,
                -19, 23, 10),
              nrow = 3, ncol = 3, byrow = TRUE)
psd1 <- psdc(Flist = list(F1, F2, F3), F0 = F0)
## Using main function of package
ans <- cccp(q = q, cList = list(nno1, soc1, psd1))
ans
getx(ans)