A second-order cone program (SOCP) is a convex optimization problem of the form . minimize subject to ‖ + ‖ ≤ +, =, …, = where the problem parameters are ∈, ∈ ×, ∈, ∈, ∈, ∈ ×, and ∈. ∈ is the optimization variable. ‖ ‖ is the Euclidean norm and indicates transpose. The "second-order cone" in SOCP arises from the constraints, which are equivalent to requiring the ...
