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SOCP implementation
I have the simple cone constraint xy >= z^2 and I use CPLEX. As far as I know,
CPLEX can only handle SCP constraints type: x-y^2 .=0. x^2 + y^2 <=t. Does anybody know how can I implelent the constraint xy >= z^2 in CPLEX? |
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#2
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SOCP implementation
Jun 27, 4:18*pm, "MichaelCh" <u44519@uwewrote:
I have the simple cone constraint xy >= z^2 and I use CPLEX. As far as I know, CPLEX can only handle SCP constraints type: x-y^2 .=0. x^2 *+ y^2 <=t. Does anybody know how can I implelent the constraint xy >= z^2 *in CPLEX? CPLEX SCP only handles constraints of type: -c0*x0^2 + sum(i, ci*xi^2) <= 0 remember that (x+y)^2 = x^2 + y^2 +2x*y, so x*y = (x+y)^2/2 - x^2/2 - y^2/2 then x*y >= z^2 <=(x+y)^2/2 - x^2/2 - y^2/2 >= z^2 define x+y = a then -a^2/2 + x^2/2 + y^2/2 + z^2 <= 0 is your constraint, as you wanted. |
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