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I was looking at the book LECTURES ON MODERN CONVEX OPTIMIZATION, by Ben-Tal and Nemirovski, which covers a lot of material on conic optimization or conic programming. The ideas I seem to get, but I am having a hard time understanding the practical examples that the authors give. They provide two examples in chapter 2 of the book: Synthesis of arrays of antennae, and Stability analysis for an uncertain linear time-varying dynamic system; however, these examples require some mathematical sophistication and the authors don't really take the time to develop/explain those examples fully. I mean you can't explain the theory of Lyapunov functions in an example or footnote. This is not a criticism of the text, just a practical issue in their choice of examples.

What I would appreciate are essentially the "Hello World" problems for conic programming and SOCP. I get that the setup of a conic program is usually the same as a Linear Program--at least in this book. So the objective is still $c^Tx$ with the usual convex constraints $Ax \leq b$, however the only difference is that $x \in K$, where $K$ is a cone. Now I understand what an LP is, such as the diet problem or the location of a factory problem. I am trying to understand what the introduction of this conic constraint allows me to do that I could not do before? Another way of saying this, is what does a conic programming or SOCP version of the diet problem or the location of a factory problem look like? What question could I answer that I could not answer before?

Any help is appreciated.

RobPratt
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krishnab
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  • The feasible region no longer has to be linear for conic optimization since some cones aren't linear. The motivating example would be finding extrema on conic sections. Convex optimization can be reduced to a conic form so eventually you can solve all the convex problems this way. – CyclotomicField May 05 '24 at 00:01

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Geometric median is a simple example of a problem that can be expressed as SOCP. You can think of it as determining where to build a factory to minimize the sum of Euclidean distances from the given customers.

RobPratt
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