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what solver to use for a linear objective function with a quadratic constraint?

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Kimberley
Kimberley 2014년 5월 13일
답변: Steve Grikschat 2020년 9월 18일
Hi,
I'm looking for a solver that will help me optimise my objective function.
My objective function is linear and so are most of my constraints (so up till this point I’ve been using Linprog, which has worked well) but now I've expanded my constraints to include a nonlinear constraint. I don’t know if now I should try to use Quadprog? Or fmincon? Any advice would be appreciated.
Thank you!

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Alan Weiss
Alan Weiss 2014년 5월 13일
According to the Optimization Decision Table, you should use fmincon.
Alan Weiss
MATLAB mathematical toolbox documentation

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Steve Grikschat
Steve Grikschat 2020년 9월 18일
As of R2020b, Optimization Toolbox now has a dedicated solver for second-order cone programming, which can be used to solve quadratic constrained problems.
https://www.mathworks.com/help//optim/ug/convert-qp-to-socp.html
Function reference:
coupled with a function to make a second-order cone constraint
For an example see

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