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Re: [Help-glpk] Absolute Value in Objective Function

From: Michael Hennebry
Subject: Re: [Help-glpk] Absolute Value in Objective Function
Date: Fri, 30 Jan 2009 12:03:14 -0600 (CST)
User-agent: Alpine 1.00 (DEB 882 2007-12-20)

On Fri, 30 Jan 2009, Simone Atzeni wrote:

I have a problem.

My objective function is (in LaTex):

minimize:       \delta + \sum_{\tau=t-k+1}^t \lvert\lvert {\bf a}(t+1) -
{\bf a}(\tau) \rvert\rvert


a(t+1): my variables (a is a vector)
a(\tau): coefficients (a is a verctor of coefficients)
\delta: coefficient

It can't be done directly.
The objective has to be linear.
The usual trick is:
absx>= x
and use absx in the objective function.
It works on a minimization problem if the coefficient is >=0.

Michael   address@hidden
"Pessimist: The glass is half empty.
Optimist:   The glass is half full.
Engineer:   The glass is twice as big as it needs to be."

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