Minimize function with multiple variables with absolute value

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Trung Bui
Trung Bui 2020-4-20
编辑： Matt J 2020-4-20
Hello,
I have a function minimize
f(x1,x2,...,xn) = [d1*x1 + d2*x2 + ... + dn*xn] + [abs(x1) + abs(x2) + .... + abs(xn)] * e
( d and e is known)
with constrains A * x <= b.
Without the second part with absolute value of x, I can use intlinprog function and it works well.
Do you have any suggestion for the solution of minimize f ?
Thank you.

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回答（1 个）

Matt J
Matt J 2020-4-20
编辑：Matt J 2020-4-20
If e is positive, rewrite this as a linear program with additional unknowns ,

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