demo/SOCP.R

In cccp: Cone Constrained Convex Problems

##
## Demo for solving a SOCP with two second-order cone constraints
## (Example taken from cvxopt's userguide)
##
## Creating SOCP
## Objective
q <- c(-2, 1, 5)
## First SOC
F1 <- matrix(c(-13, 3, 5,
               -12, 12, -6),
             nrow = 2, ncol = 3, byrow = TRUE)
g1 <- c(-3, -2)
d1 <- c(-12, -6, 5)
f1 <- -12
soc1 <- socc(F = F1, g = g1, d = d1, f = f1)
## Second SOC
F2 <- matrix(c(-3, 6, 2,
               1, 9, 2,
               -1, -19, 3),
             nrow = 3, ncol = 3, byrow = TRUE)
g2 <- c(0, 3, -42)
d2 <- c(-3, 6, -10)
f2 <- 27
soc2 <- socc(F = F2, g = g2, d = d2, f = f2)
## Using main function of package
ctl <- ctrl(feastol = 1e-5)
ans <- cccp(q = q, cList = list(soc1, soc2), optctrl = ctl)
ans
getx(ans)