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Thread: Conic quadratic optimisation

  1. #1

    Conic quadratic optimisation

    Hi all,

    Is there any way to perform a Second Order Cone Programming (SOCP) optimisation with ISML, I've been through the list of optimisation types in the API and couldn't find any quadratic constraint.
    The problem I need to solve is as follow:

    Max mTx
    Subject To GTx2≤a
    eTx=1
    x≥0
    Where m: vector n
    x: vector n
    G: matrix n x n
    e: vector of unit 1
    a: real number

    I used to program conic optimisation with Mosek (https://docs.mosek.com/modeling-cookbook/cqo.html) and now I have to use ISML and couldn't find anything equivalent.

    Thank you,
    Fed

  2. #2
    Junior Member
    Join Date
    Feb 2009
    Location
    Houston, TX
    Posts
    27
    The problem can be solved using IMSL C# optimization class MinConNLP. It is necessary to reformulate the problem equivalently so it can be solved by MinConNLP. You may also need to use the MinConNLP.IGradient Interface to reduce numerical inaccuracies.
    Jennifer Locke
    Product Manager, IMSL, Views, JViews, Elixir and Stingray
    P: 713.954.6454

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