Defining conic problems over some specific cone

60 Views Asked by At

I am working with the following definition for conic optimization problems (based on Alexander Barvinok's book "A Course in Convexity"):

Let $\mathbb{E}$ and $\mathbb{Y}$ be Euclidean spaces, let $K\subseteq\mathbb{E}$ and $L\subseteq\mathbb{Y}$ both be proper cones, let $c\in\mathbb{E}$ and $b\in\mathbb{Y}$, and consider a linear function $A\colon\mathbb{E}\to\mathbb{Y}$ .

A conic optimization problem over $K$ is defined as:

$$\inf\{\langle x,c\rangle\, \colon A(x)\succeq_{_L^{\ast}} b , x\in K \}.$$

However, I am having trouble defining conic problems over a specific cone. For example, i have the following definition for SOCP (which are conic problems over $\mathbb{L}_n=\{x\oplus t\in\mathbb{R}^n\oplus\mathbb{R}_+\,\colon\|x\|\leq t\}$):

Let $\mathbb{Y}$ be a Euclidean space, let $K\subseteq\mathbb{Y}$ be a proper cone, and consider $n\in\mathbb{N}$ and $\mathbb{L}_n\subseteq\mathbb{R}^n\oplus\mathbb{R}$. Also let a linear function $A\colon\mathbb{R}^n\oplus\mathbb{R}\to \mathbb{Y}$.

A second order conic problem (SOCP) is defined as: $$\inf\{\langle x,c\rangle\, \colon A(x)\succeq_{_K^{\ast}} b , x\in \mathbb{L}_n \}.$$

I see that my definition does not correspond to the definition of, for example, Wikipedia, because there is no 'extra' cone $K$ in other definitions. Where is the flaw with my definition? How could I correct it?

1

There are 1 best solutions below

4
On

It seems like your question is about converting your SOCO problem with conic inequalities to the notation on Wikipedia with equality constraints. You can simply add an additional variable: $$Ax \succeq_{_K} b, \quad x \in L $$ is equivalent to: $$Ax - b = y, \quad (x,y) \in L \times K. $$ Note that $L \times K$ is a cone when $L$ and $K$ are cones.