linear programming - L1-norm minimisation in MATLAB with Gurobi -


i want solve following optimisation problem in matlab:

min sum(abs(x)) s.t. a*x = 0,      lb <= x <= ub 

where x dense vector, sparse matrix, lb , ub real lower , upper bounds respectively.
convenient function linprog() or lp solver gurobi.
know how formulate problem?

thanks

the objective minimize sum(abs(x)) can translated to:

  • minimize sum(u)
  • s.t. -u_i <= x_i <= u_i
  • (where dim(x) == dim(u))

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