Linear Programming (LP)

$$\begin{array}{lcl} \text{minimize} & c^{T}x + d \\ \text{subject to} & Gx \le h \\ & Ax = b \\ \text{where }G \in \mathbb{R}^{m \times n} \text{ and } A \in \mathbb{R}^{p \times n}& \\ \end{array}$$




Quadratic Programming (QP)

$$\begin{array}{lcl} \text{minimize} & \frac{1}{2}x^{T}Px + q^{T}x + r \\ \text{subject to} & Gx \le h \\ & Ax = b \\ \text{where }G \in \mathbb{R}^{m \times n} \text{ and } A \in \mathbb{R}^{p \times n}& \\ \end{array}$$




Quadratically Constrained Quadratic Programming (QCQP)

$$\begin{array}{lcl} \text{minimize} & \frac{1}{2}x^{T}P_{0}x + q_{0}^{T}x + r_{0} \\ \text{subject to} & \frac{1}{2}x^{T}P_{i}x + q_{i}^{T}x + r_{i} \le 0, i=1, \cdots, m \\ & Ax = b \\ \text{where }P \in \mathbb{S}^{n}_{+} \text{for } i=1,\cdots,m \text{ and } A \in \mathbb{R}^{p \times n}& \\ \end{array}$$




Second-Order Cone Programming (SOCP)

$$\begin{array}{lcl} \text{minimize} & f^{T}x \\ \text{subject to} & \parallel A_{i}x + b_{i} \parallel_{2} \leq c_{i}^{T}x + d_{i}, i=1,\cdots,m \\ & Fx = g \\ \text{where }x \in \mathbb{R}^{n} \text{ is the optimization variable, } &\\ A_{i} \in \mathbb{R}^{n_{i} \times n} \text{ and } F \in \mathbb{R}^{p \times n} &\\ \end{array}$$




Semidefinite Programming (SDP)

$$\begin{array}{lcl} \text{minimize} & c^{T}x + d \\ \text{subject to} & x_{1}F_{1} + \cdots + x_{n}F_{n} + G \leq 0 \\ & Ax = b \\ \text{where }G, F_{1}, \cdots, F_{n} \in \mathbb{S}^{k} \text{ and } A \in \mathbb{R}^{p \times n}& \\ \end{array}$$




Conic Programming (CP)

$$\begin{array}{lcl} \text{minimize} & c^{T}x + d \\ \text{subject to} & Fx + g \leq_{K} 0 \\ & Ax = b \\ \text{where }c, x \in \mathbb{R}^{n}, A \in \mathbb{R}^{p \times n} \text{ and } b \in \mathbb{R}^{p} & \\ \end{array}$$
 

 

 


Reference
  1. Convex Optimization For All
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