second order cone constraint in JuMP 0.19 with gurobi solver



I failed to add SOCP constraint to my model with gurobi solver after updating JuMP to 0.19.

Since norm is no longer supported, I tried the example provided in documentation,

using JuMP,Gurobi,MathOptInterface

env = Gurobi.Env()

model = Model(with_optimizer(Gurobi.Optimizer, env))

@variable(model, x)

@variable(model, t)

#@constraint(model, norm([x-1, x-2]) <= t)

@constraint(model, [t, x-1, x-2] in SecondOrderCone())



But the error message says

ERROR: LoadError: Constraints of type MathOptInterface.VectorAffineFunction{Float64}-in-MathOptIInterface.SecondOrderCone are not supported by the solver and there are no bridges that can refrormulate it into supported constraints.

Please help on this.


For Gurobi you need to enter it as a quadratic constraint. The transformation from SOC to quadratic is currently discussed here:

We try to make a decision about this during this afternoon collaboration time at JuMP-dev.