I'd like you to consider interfacing with Mosek.

https://groups.google.com/forum/#!topic ... J7HEOR0lRI

It is a convex solver (e.g. SOCP problems), and so far I was impressed by its performance. If Eigen would have a modeling option to such a library (similar to cvx or yalmip for matlab), it would be nice. Maybe the auto diff module can be adapted for this.