Question: When considering a second- order cone constraint, a temptation might be to square it in order to obtain a classical convex quadratic constraint. This might

When considering a second- order cone constraint, a temptation might be to square it in order to obtain a classical convex quadratic constraint. This might not always work. Consider the constraint

x1 + 2x2 ||*||2, x

and its squared counterpart:

Is the set defined by the second inequality convex? Discuss.

x1 + 2x2 ||*||2, x

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