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Conic optimization is a subfield of convex optimization that studies problems consisting of minimizing a convex function over the intersection of an affine subspace and a convex cone.
The class of conic optimization problems includes some of the most well known classes of convex optimization problems, namely linear and semidefinite programming.
Definition
Given a real vector space X, a convex, real-valued function
defined on a convex cone , and an affine subspace defined by a set of affine constraints , a conic optimization problem is to find the point in for which the number is smallest.
Examples of include the positive orthant , positive semidefinite matrices , and the second-order cone . Often is a linear function, in which case the conic optimization problem reduces to a linear program, a semidefinite program, and a second order cone program, respectively.
Duality
Certain special cases of conic optimization problems have notable closed-form expressions of their dual problems.
Conic LP
The dual of the conic linear program
- minimize
- subject to
is
- maximize
- subject to
where denotes the dual cone of .
Whilst weak duality holds in conic linear programming, strong duality does not necessarily hold.[1]
Semidefinite Program
The dual of a semidefinite program in inequality form
- minimize
- subject to
is given by
- maximize
- subject to
References
- ^ "Duality in Conic Programming" (PDF).
External links
- Boyd, Stephen P.; Vandenberghe, Lieven (2004). Convex Optimization (PDF). Cambridge University Press. ISBN 978-0-521-83378-3. Retrieved October 15, 2011.
- MOSEK Software capable of solving conic optimization problems.