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.
An Expression to linearize.
An affine expression or
NA if cannot be linearized.
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))))