what solver to use for a linear objective function with a quadratic constraint?

Question

Kimberley 2014-5-13

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回答： Steve Grikschat 2020-9-18

Hi,

I'm looking for a solver that will help me optimise my objective function.

My objective function is linear and so are most of my constraints (so up till this point I’ve been using Linprog, which has worked well) but now I've expanded my constraints to include a nonlinear constraint. I don’t know if now I should try to use Quadprog? Or fmincon? Any advice would be appreciated.

Thank you!

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Answer 1

Alan Weiss 2014-5-13

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According to the Optimization Decision Table, you should use fmincon.

Alan Weiss

MATLAB mathematical toolbox documentation

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Answer 2

Steve Grikschat 2020-9-18

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As of R2020b, Optimization Toolbox now has a dedicated solver for second-order cone programming, which can be used to solve quadratic constrained problems.

https://www.mathworks.com/help//optim/ug/convert-quadratic-constraints-to-second-order-cone-constraints.html

https://www.mathworks.com/help//optim/ug/convert-qp-to-socp.html

Function reference:

https://www.mathworks.com/help//optim/ug/coneprog.html

coupled with a function to make a second-order cone constraint

https://www.mathworks.com/help//optim/ug/optim.coneprog.secondorderconeconstraint.html

For an example see

https://www.mathworks.com/help//optim/ug/cone-programming-mass-nonlinear-spring.html