Originally posted by: SamKirshner

According to the documentation, I should be able to call CPLEXQCP from Matlab with a problem which has an SOCP cone constraint. I was not able to figure out how to format the data. Are there any examples that have constraints of the form x >= sqrt(y^2+z^2)?

On this page of the documentation, http://publib.boulder.ibm.com/infocenter/cosinfoc/v12r2/index.jsp?topic=%2Filog.odms.cplex.help%2FContent%2FOptimization%2FDocumentation%2FCPLEX%2F_pubskel%2FCPLEX934.html, it says CPELX can handle a problem such as

x'Qx <= y^2, where y >= 0 and Q is PSD

and x'Qx <= yz where y and z >= 0 and Q is PSD,

but I am confused as to where the variables y and z are in x, since CPLEXQCP uses one vector X for the solution.

Any help would be much appreciated.
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Originally posted by: SystemAdmin

The example socpex1.m should illustrate how to specify SOCP constraints.
In CPLEX socp constraints are not specified as x>=|(y,z)|. They need to be specified as

-x^2 + y^2 + z^2 <= 0

x must be a non-negative variable and y and z must be free variables.
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Originally posted by: SamKirshner

Thanks a lot for the help!
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