Description Usage Arguments Details Value Author(s) References Examples
solve an SOCP program by infeasible path-following method
1 |
blk |
a list describing the structure of the SOCP data. |
At |
a matrix containing the coefficients for the linear and second order cone constraints. At should have m columns, where m is the number of constraints. The number of rows in At should be |
C |
a vector containing the coefficients of the objective function to be minimized. |
b |
a vector containing the right hand side of the constraints. |
OPTIONS |
a list that specifies parameters required in sqlp. |
X0 |
an initial iterate for primal solution. |
y0,Z0 |
initial iterates for dual solution. |
A second order cone program (SOCP) is an optimization problem similar to
a linear program (LP), except that some variables can be constrained by
second order cones. An exact mathematical definition can be found in
Kim-Chuan Toh , Michael J. Todd, and Reha H. Tutuncu. This function
implements the algorithm given in that paper which allows for multiple
second order cone constraints as well as linear constraints. The
objective function is given by sum(C*x)
while the constraints
are A%*%x == b
, with x
belonging to the cartesian
product of second order cones described by blk
.
A list containing named elements:
x |
The optimal solution to the SOCP. |
y,Z |
The dual solutions. |
info |
Summary information. |
runhist |
Run history. |
Hanwen Huang: hanwenh@email.unc.edu; Perry Haaland: Perry_Haaland@bd.com; Xiaosun Lu: Xiaosun_Lu@bd.com; Frances Tong: Frances_Tong@bd.com; Elaine McVey: Elaine_McVey@bd.com; Yufeng Liu: yfliu@email.unc.edu; J. S. Marron: marron@email.unc.edu
Kim-Chuan Toh , Michael J. Todd, and Reha H. Tutuncu
SDPT3 version 4.0 – a MATLAB software for semidefinite-quadratic-linear
programming
http://www.math.nus.edu.sg/~mattohkc/sdpt3.html
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