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

[Michael Hennebry]

On Fri, 30 Jan 2009, Simone Atzeni wrote:

> Hi,
> 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
>
> where:
>
> 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
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."