How to solve SOCP program on MATLAB?

I am trying to solve a program with some linear inequalities and with norm-2 constraint. How to solve such programs on MATLAB?

Is there a specefic function for it? (For example: to solve LP, we have linprog in MATLAB).

Answer 1

[Steve Grikschat]

As of R2020b, Optimization Toolbox now has a dedicated solver for second-order cone programming:

https://www.mathworks.com/help//optim/ug/coneprog.html

coupled with a function to make a second-order cone constraint

https://www.mathworks.com/help//optim/ug/optim.coneprog.secondorderconeconstraint.html

For examples see

https://www.mathworks.com/help//optim/ug/cone-programming-mass-nonlinear-spring.html

https://www.mathworks.com/help//optim/ug/convert-quadratic-constraints-to-second-order-cone-constraints.html

Answer 2

[Alan Weiss]

Currently, there is no dedicated SOCP solver in Optimization Toolbox™. But you can often include this kind of constraint either directly in fmincon or after reformulation in quadprog.

Alan Weiss

MATLAB mathematical toolbox documentation