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socp.py

The small SOCP of section 8.5

# The small SOCP of section 8.5.  

from cvxopt.base import matrix
from cvxopt import solvers
c = matrix([-2., 1., 5.])
G = [ matrix( [[12., 13., 12.], [6., -3., -12.], [-5., -5., 6.]] ) ]
G += [ matrix( [[3., 3., -1., 1.], [-6., -6., -9., 19.], [10., -2., -2., -3.]] ) ]
h = [ matrix( [-12., -3., -2.] ),  matrix( [27., 0., 3., -42.] ) ]
sol = solvers.socp(c, Gq = G, hq = h)
print "\nx = \n\n", sol['x']
print "zq[0] = \n\n", sol['zq'][0]
print "zq[1] = \n\n", sol['zq'][1]
 

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