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Given a vector x, the objective is to maximize it's L1-norm over some convex subset C, i.e.
Objective=-norm(x,1) Constraints=[X \in C]
Is it possible to convert this problem to linear programming?
Please advise and thanks in advance.
Johan Löfberg
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Jun 17, 2018, 8:03:10 AM6/17/18
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No, the objective is nonconvex and yalmip will derive a milp (assuming C is LP-representable of course)
M.T
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Jun 17, 2018, 8:10:04 AM6/17/18
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I see. I was afraid of having such a thing. So there is no way to maximize the L1 norm using any known techniques (using quadratic optimization, linear programming...) ? The objective was minus because in YALMIP, everything is solved using minimization, and in order to get maximization, i negated the term ||x||_1.
Johan Löfberg
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Jun 17, 2018, 9:02:11 AM6/17/18
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nope, intrinsically nonconvex, just think of max |x| subject to -1<=x<=1 which has two disjoint maximizers