RobustConvexOptimization

RobustConvexOptimization[f, ForAll[pars, pcons, vcons], vars] finds values of vars that give the minimum value of f for vars that satisfy the constraints vcons for all possible values of the parameters pars that satisfy the parametric constraints pcons.

• RobustConvexOptimization[..., "prop"] specifies what solution property "prop" should be returned.

This function solves optimization problems with uncertainty in parameters.

Examples

RobustConvexOptimization[x + y, 
  ForAll[{a}, -1 <= a <= 1, x + a*y >= 1], {x, y}]

RobustConvexOptimization[x, 
  ForAll[{p}, Abs[p] <= 1, x + p >= 0], {x}]

RobustConvexOptimization[x^2 + y^2, 
  ForAll[{a, b}, a^2 + b^2 <= 1, a*x + b*y <= 1], {x, y}]

*See the official Wolfram Language Reference for more details.