Posts Tagged ‘cvxopt’

Second Order Cone Programming with CVXOPT

December 18, 2010

CVXOPT is a convex optimization package for Python that includes a Second Order Cone Programming (SOCP) solver.  The SOCP solver takes a set of matrices that describe the SOCP problem, but these matrices are different than the matrices usually used to express the SOCP problem.  This post walks through the simple algebra steps to find relationship between the two formulations of the SOCP problem.