robustmodel

robustmodel is used to derive a robust counterpart of an uncertain optimization problem without solving it.

Syntax

 [Frobust,robustobjective] = robustify(F,objective,options)

Examples

Consider the following uncertain problem (w is the uncertain variable)

sdpvar x w
F = [x+w <= 1];
W = [uncertain(w),-0.5 <= w <= 0.5];
objective = -x;

The problem can be solved immediately

optimize([F, W],objective);

Alternatively, we can first derive a robust version.

[Frobust,robustobjective] = robustmodel(F + W,objective);

This model does not involve the uncertain variable anymore, and corresponds to the worst-case scenario model. We can now solve the model.

optimize(Frobust,robustobjective)

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