linearize function

Affine Approximation to an Expression

Gives an elementwise lower (upper) bound for convex (concave) expressions that is tight at the current variable/parameter values. No guarantees for non-DCP expressions. methods

linearize(expr)

Arguments

• expr: An Expression to linearize.

Returns

An affine expression or NA if cannot be linearized.

Details

If f and g are convex, the objective f-g can be (heuristically) minimized using the implementation below of the convex-concave method:

for(iters in 1:N) solve(Problem(Minimize(f - linearize(g))))