dual variables of SOC

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andrea

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Jan 17, 2020, 10:38:08 AM1/17/20
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Dear members,

I'm developing a SOCP in yalmip using mosek as solver. I can solve the problem correctly reaching the optimal solution but I have hard time understanding why there are 4 dual variables associated with one SOC? I'm reading the dual variables from the "solveroutput.res.sol.itr.xx". I mean that for each equality, I have one dual variable and for each upper and lower-bounded inequality, I have two associated dual variables. Can someone please explain why for an SOC constraint I have 4 dual variables?

Thank you for your attention.
Best regards,

Andrea

Johan Löfberg

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Jan 17, 2020, 12:05:51 PM1/17/20
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The dual to an socp cone (Ax+b in q^N) is a vector z in q^N. 
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