Second-order cone constraint in JuMP

Specific Domains Optimization (Mathematical)
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3

Hi @Z_M,

Here’s the Cholesky version:

using JuMP
Q = [1.0 0.5; 0.5 3.0]
model = Model()
@variable(model, t)
@variable(model, x[i in 1:2])
@objective(model, Min, t)
QQ = LinearAlgebra.cholesky(Q)
# 2 * t * 1 >= || QQ.U * x ||_2^2
@constraint(model, [t; 1; QQ.U * x] in RotatedSecondOrderCone())