second order cone contraint

回答済み

Azadeh Farsi

2025年03月22日 01:14

• 
• 

Hello, 

I want to solve a model in gurobipy and I am dealing with the following constraint:

\begin{equation}
 - (\sum_{\tau=1}^t x_\tau + \sum_{\tau=2}^t (X_\tau) \mu - t\mu) \leq F^{-1}(\alpha)\sqrt{\sum_{\tau=1}^{t-1} (1-X_{\tau+1})^2 \sigma^2 +\sigma^2}
\end{equation}

 

I have coded as: for t in range(1,periods+1):
   
    m.addConstr(rhs[t]==gp.quicksum((1-X[tau+1])**2  for tau in range(1,t))+1)
   
   
    m.addConstr(lhs[t]==-(gp.quicksum(x[tau] for tau in range(1,t+1))+gp.quicksum(X[tau]*mean for tau in range(2,t+1))-t*mean)/(s*norm.ppf(alpha)))
    m.addConstr(lhs[t]*lhs[t]-rhs[t]>=0)

 

However, this is not recognized as SOC. Could anyone help how to represent it to be recognize as SOC?

関連

• SOCP

0

• 

  Riley Clement

  • Gurobi Staff

  2025年03月24日 10:28

  Hi Azadeh,

  Can you try substituting your expression for rhs directly into the soc constraint, i.e.

   m.addConstr(lhs[t]*lhs[t] >= gp.quicksum((1-X[tau+1])**2  for tau in range(1,t))+1)

  and then remove the rhs variable and the quadratic equality constraint it appears in (a quadratic equality constraint is non-convex).  I expect this will resolve the issue.

  - Riley

  0

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