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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