com.numericalmethod.suanshu.optimization.constrained.convex.sdp.socp.problem

Class SOCPGeneralProblem

java.lang.Object

com.numericalmethod.suanshu.optimization.constrained.convex.sdp.socp.problem.SOCPDualProblem

com.numericalmethod.suanshu.optimization.constrained.convex.sdp.socp.problem.SOCPGeneralProblem

All Implemented Interfaces:

ConstrainedOptimProblem, OptimProblem, java.io.Serializable

public class SOCPGeneralProblem
extends SOCPDualProblem

Many convex programming problems can be represented in the following form. Minimize \[ f^' x \] subject to \[ \lVert A_i x + b_i \rVert_2 \leq c_i^T x + d_i,\quad i = 1,\dots,m \\ Fx = g \] where the problem parameters are \[ x\in\mathbb{R}^n, f \in \mathbb{R}^n, \ A_i \in \mathbb{R}^{{n_i}\times n}, \ b_i \in \mathbb{R}^{n_i}, \ c_i \in \mathbb{R}^n, \ d_i \in \mathbb{R}, \ F \in \mathbb{R}^{p\times n}, g \in \mathbb{R}^p \]

See Also:

• Wikipedia: Second-order cone programming
• "Andreas Antoniou, Wu-Sheng Lu, "eq 14.104, Section 14.7, Second-Order Cone Programming," Practical Optimization: Algorithms and Engineering Applications."

, Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from class com.numericalmethod.suanshu.optimization.constrained.convex.sdp.socp.problem.SOCPDualProblem

SOCPDualProblem.EqualityConstraints

Constructor Summary

Constructors

Constructor and Description
SOCPGeneralProblem(Vector f, Matrix[] A, Vector[] c, Vector[] b, double[] d) Construct a general Second Order Conic Programming problem.

Method Summary

Methods inherited from class com.numericalmethod.suanshu.optimization.constrained.convex.sdp.socp.problem.SOCPDualProblem

A, A, b, c, c, dimension, f, getEqualityConstraints, getLessThanConstraints, m, n, q

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

SOCPGeneralProblem

public SOCPGeneralProblem(Vector f,
                          Matrix[] A,
                          Vector[] c,
                          Vector[] b,
                          double[] d)

Construct a general Second Order Conic Programming problem. Minimize \[ f^' x \] subject to \[ \lVert A_i x + b_i \rVert_2 \leq c_i^T x + d_i,\quad i = 1,\dots,m \]

Parameters:

f - f

A - A

c - c

b - b

d - d