3 Conic quadratic optimization — MOSEK Modeling
3 Conic quadratic optimization¶ This chapter extends the notion of linear optimization with quadratic quadratic optimization also known as second order cone optimization is a straightforward generalization of linear optimization in the sense that we optimize a linear function under linear in equalities with some variables belonging to one or
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When we solve a SOCP in addition to a solution x^star we obtain a dual solution lambda i^star corresponding to each second order cone constraint A non zero lambda i^star indicates that the constraint A ix b i 2 leq c i^Tx d i holds with equality for x^star and suggests that changing d i would change the optimal value