The Script sql.m and the Function fsql.m

 

The Matlab routines sql.m and fsql.m solve SQLP's using a primal-dual Mehrotra predictor-corrector scheme based on the XZ+ZX search direction [1]. Its extension from SDP to SQLP is based on the discussion in [2] for quadratic cone constraints and will be described in more detail in a forthcoming technical report [3].

The simplest option for the user is to call the script sql.m, which automatically calls the Matlab function fsql.m. Additional scripts are provided to help the user set up the data, define necessary options, and initialize the variables (as described shortly). The user who requires a function interface should bypass sql.m and call fsql.m directly. In either case there are five steps to be followed:

• set up the data (the use of makeA.m or import.m simplifies this process)
• set the options (the routine setopt.m sets these to their default values)
• provide initial values for the variables (the routine init.m provides default settings)
• call either the script sql.m or the function fsql.m to solve the problem
• interpret the output

We now describe each of these steps in detail.

• Preparing the data
• Setting the options
• Initializing the variables
• Invoking sql.m or fsql.m
• Interpreting the output