A second-order cone program (SOCP) is a convex optimization problem of the form
Contents
- Example Quadratic constraint
- Example Stochastic linear programming
- Example Stochastic second order cone programming
- References
where the problem parameters are
Example: Quadratic constraint
Consider a quadratic constraint of the form
This is equivalent to the SOC constraint
Example: Stochastic linear programming
Consider a stochastic linear program in inequality form
minimizewhere the parameters
where
Example: Stochastic second-order cone programming
We refer to second-order cone programs as deterministic second-order cone programs since data defining them are deterministic. Stochastic second-order cone programs is a class of optimization problems that defined to handle uncertainty in data defining deterministic second-order cone programs.