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How to solve SOCP program on MATLAB?

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Ruchika Sehgal 2020-7-7

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回答： Steve Grikschat 2020-9-18

I am trying to solve a program with some linear inequalities and with norm-2 constraint. How to solve such programs on MATLAB?

Is there a specefic function for it? (For example: to solve LP, we have linprog in MATLAB).

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Steve Grikschat 2020-9-18

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As of R2020b, Optimization Toolbox now has a dedicated solver for second-order cone programming:

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 examples see

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

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

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Alan Weiss 2020-7-7

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Currently, there is no dedicated SOCP solver in Optimization Toolbox™. But you can often include this kind of constraint either directly in fmincon or after reformulation in quadprog.

Alan Weiss

MATLAB mathematical toolbox documentation

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