ecos-cpp

Ecos-cpp is a object-oriented modern-C++ wrapper of ECOS(Embedded Conic Solver), a lightweight Second-Order Cone Programming solver. Ecos-cpp uses Eigen for its interface and is meant to be more user-friendly than the original C interface.

Second-order Cone Programming

Ecos-cpp solves the following optimization problem:

$$\begin{array}{rl}\arg \underset{x}{min}& c^{T}x\\ \mathrm{s}.\mathrm{t}.& h-Gx\in K\\ & Ax-b=0\end{array}$$

where $K$ is a direct product of positive orthant ${\mathbb{R}}_{+}^p$, quadratic cone $(y,z)||z{|}_2\le y$ and exponential cone $\mathrm{closure}(x,y,z)|\exp \frac{x}{z}\le \frac{y}{z},z>0$.

Prerequisite

• Eigen 3
• CMake
• A C++ compiler that can compile C++11 (test code uses C++17 features.)

Using the library through CMake

Write the following code in your CMakeLists.txt:

add_subdirectory(<path-to-this-directory>)

...

target_link_libraries(<your-target> PUBLIC|PRIVATE ecos-cpp)

#include <ecos_cpp.hpp> in your c++ code.

Building and running tests

mkdir build
cd build
cmake .. 
make ecos-cpp-test
./ecos-cpp-test 1 1 1