?? solverobust.m
字號(hào):
function sol = solverobust(varargin)
%SOLVEROBUST Solve robust conic problem
%
% sol = solverobust(F,h,options,uncertain) is used for finding a robust
% solution to an uncertain conic problem.
%
% Currently, YALMIP supports robust solutions to conic problems where
% uncertainty only enter in linear inequality constraints. The
% uncertainty set is allowed to be an arbitrary conic set. For uncertain
% SOCP and SDP constraints, the uncertainty set has to be polytopic.
%
% The robust problem supported can be formulated as
%
% min max_w f(x)+c(w)'*x
%
% subject to H(x) >(=) 0
% A(w)x <= b(w) for all w:G(w) >(=) 0
%
% The data c, A and b are linearly parameterized by uncertainty w,
% the constraints H and G are general conic sets.
%
% INPUT
% F : SET object with constraints and uncertainty description
% h : scalar SDPVAR object (can be [])
% options : options structure obtained from SDPSETTINGS (can be [])
% uncertain : SDPVAR object defining uncertain variables
%
% OUTPUT
% sol : Solution diagnostic.
%
% EXAMPLE
% sdpvar x w
% F = set(x + w <= 1) + set(-0.5 <= w <= 0.5);
% solverobust(F,-x,[],w) % Optimal value x=0.5
%
% NOTES
%
% The constraints and objective have to satisfy a number of conditions
% for the robustification to be tractable. Please refer to the YALMIP
% Wiki for the current assumptions (this is constantly developing)
%
% See also SOLVESDP, SOLVESOS, SDPSETTINGS, SDPVAR, SET
if nargin < 3
varargin{3} = sdpsettings;
ops = varargin{3};
else
ops = varargin{3};
if isempty(ops)
ops = sdpsettings;
varargin{3} = ops;
end
end
% convert to robust model
[F,h,failure] = robustify(varargin{:});
if failure
error('Failed to create robustified model. Check the Wiki!')
else
% and solve this model instead
sol = solvesdp(F,h,ops);
end
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