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I am trying to solve a second order conic optimization problem.

My objective and constraints are linear except the conic constraint written below.

The original nonlinear conic constraint

𝑃2 +𝑄2
𝑙≤ 𝑣
This can be written as a second order cone constraint like:

2𝑃
‖ 2𝑄 ‖ ≤ 𝑙 + 𝑣
𝑙−𝑣 2

𝑃, 𝑄, 𝑙, 𝑣 𝑎𝑟𝑒 𝑣𝑎𝑟𝑖𝑎𝑏𝑙𝑒𝑠
I wrote my code for this constraint as:

2 2 2
√(2𝑃𝑖𝑗 ) + (2𝑄𝑖𝑗 ) + (𝑙𝑖𝑗 − 𝑣𝑖 ) ≤ (𝑙𝑖𝑗 + 𝑣𝑖 )

And I wrote it in gams (but it did not work) like:


𝑒𝑞1(𝑖, 𝑗). . 𝑙(𝑖, 𝑗) + 𝑣(𝑖) = 𝑔 = 𝑠𝑞𝑟𝑡 (𝑠𝑞𝑟(2 ∗ 𝑃(𝑖, 𝑗)) + 𝑠𝑞𝑟(2 ∗ 𝑄(𝑖, 𝑗)) + 𝑠𝑞𝑟(𝑙(𝑖, 𝑗) − 𝑣(𝑖)))

How to solve it as qcp and which solver to use?


I used mosek & cplex but non of them worked.

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