Eigen Conic Solver

A C++ Second Order Cone Solver for problems of the form

The last constraint is generalized and includes both the positive orthant and second order cones, so that the top rows of G represent the linear constraints

and the remaining rows contain stacked representations of the second order cones:

Usage

#include "eicos.hpp"

Eigen::SparseMatrix<double> G, A;
Eigen::VectorXd c, h, b;
Eigen::VectorXi q;

// (Set up problem data)

// Construct a solver instance
EiCOS::Solver solver(G, A, c, h, b, q);

// Solve the problem
solver.solve()

// Save the solution
Eigen::VectorXd s = solver.solution();

// (Change entries in G, A, c, h, b)

// Update problem data: Using this method instead of constructing a new problem can
// save a lot of time, especially for larger problems. The only restriction is that 
// the sparsity pattern and dimensions must be the same as in the original problem.
solver.updateData(G, A, c, h, b);

// Rinse and repeat
solver.solve()

Dependencies

• Eigen for linear algebra functionality
• fmt (optional) for printing and formatting

CMake

To use the solver with a cmake project, simply include the subdirectory and link the library.

add_subdirectory(EiCOS)
target_link_libraries(my_library eicos)

Credits

This solver is entirely based on ECOS.

• Alexander Domahidi (ECOS principal developer)
• Eric Chu (ECOS unit tests)
• Stephen Boyd (methods and maths)