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Detection and Transformation of Second-Order Cone Programming Problems in a General-Purpose Algebraic Modeling Language

Jared Erickson(Jared.Erickson***at***sas.com)
Robert Fourer(4er***at***ampl.com)

Abstract: Diverse forms of nonlinear optimization problems can be recast to the special form of second-order cone problems (SOCPs), permitting a wider variety of highly effective solvers to be applied. Popular solvers assume, however, that the necessary transformations to required canonical forms have already been identified and carried out. We describe a general approach to the construction of algorithms that automatically detect equivalent to SOCPs and apply the necessary transformations. To test this approach, the algorithms are implemented in the context of the AMPL modeling language and various solvers. The automated transformations are seen to allow for more effective and reliable modeling, while in some cases transforming problems to forms that are much easier to solve.

Keywords: second-order cone programming, SOCP, modeling languages

Category 1: Linear, Cone and Semidefinite Programming (Second-Order Cone Programming )

Category 2: Optimization Software and Modeling Systems (Modeling Languages and Systems )

Citation: Technical report, Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, IL, U.S.A. Posted to Optimization Online (May 2019).

Download: [PDF]

Entry Submitted: 05/06/2019
Entry Accepted: 05/07/2019
Entry Last Modified: 05/06/2019

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