Questions tagged [conic-optimization]
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3 questions with no upvoted or accepted answers
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Quadratic conic program duality
I am working on a problem relating to what is known as the "Good Deal risk measure" for production valuation in incomplete markets. I have created the following primal optimization problem, ...
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Dual of second order cone programming with both equality and inequality constraints
How to derive the dual of a second order cone programming with both equality and inequality constraints?
Here is the optimization problem I want to handle:
$$
\begin{array}{rl}\min_{\mathbf{x},\mathbf{...
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How to check optimality of conic optimization problem
I'm trying to solve this problem, but I'm not sure if it is possible to check the optimality of this problem.
$$\min_{K,L} \quad Tr(L^\top L)\qquad\\
\text{s.t.} \quad K^\top L = A^\top Q\\
\qquad \...
