Dear Johan: I want to ask if a SOCP programming has a dual problem.
If does, how can I get the dual multiplier of one of the constraints ?
The code of the problem is shown below :
code:
---------------------------------------------------------------------------------------------------------
clc;
clear;
x=sdpvar(2,1);
y=sdpvar(1,1);
F=[];
F=[
F;
x(1)>=5;
x(2)>=1;
x<=10;
cone(x,y);
];
obj=y;
sub2_options=sdpsettings('solve','cplex');
sub2_options=sdpsettings(sub2_options,'verbose',2);
% If set the "dualize" as default (0) , the result can be solved but when the "dualize" is set as 1, the result is wrong obviously.
sub2_options=sdpsettings(sub2_options,'dualize',1);
% dual(F(1))
optimize(F,obj,sub2_options);
value(obj)