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Robustification methods

Within robust, there are 3 tractable approximate robust formulations for GPs and SPs. The methods are detailed at a high level below, in decreasing order of conservativeness. Please see [Saab, 2018] for further details. The following descriptions have been borrowed from [Ozturk, 2019].

Simple Conservative Approximation

The simple conservative approximation maximizes each monomial term separately.

Linearized Perturbations

The Linearized Perturbations formulation separates large posynomials into decoupled posynomials, depending on the dependence of monomial terms. It then robustifies these smaller posynomials using robust linear programming techniques.

Best Pairs

The Best Pairs methodology separates large posynomials into decoupled posynomials, just like Linearized Perturbations. However, it then solves an inner-loop problem to find the least conservative combination of monomial pairs.

Work in progress...