how to get the dual multiplier of a SOCP problem

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Y. Zh

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Dec 5, 2016, 3:00:59 AM12/5/16
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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)

Johan Löfberg

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Dec 5, 2016, 3:16:10 AM12/5/16
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when dualizing socp constraints, I don't think the command dual will work

Y. Zh

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Dec 5, 2016, 3:30:59 AM12/5/16
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But when dualizing a linear constraints (the solver that I use is cplex) , can the command dual work?

Johan Löfberg

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Dec 5, 2016, 11:31:03 AM12/5/16
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I'm not sure if the dual values ever are recovered to be used through the command dual, when the model has been dualized.


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