Hello every one, I have a question related to approximation of functions based on norms
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How can I approximate this function and its constraint using L1, L2, and L∞ to perform the optimization process using fmincon MATLAB function?
Objective function F*w+f=min
Subject to F*w+f ≥b
F is a matrix (7x35)
f is a vector (7x1)
b is the vector (7x1)
w is the vector of parameters needed for optimization (35x1)
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Accepted Answer
Matt J
on 14 Nov 2020
You would not use fmincon. For L1, you could use minl1lin
For L2, you would use lsqlin,
For L-infinity, you would use fminimax,
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More Answers (1)
Bruno Luong
on 14 Nov 2020
l1 and linfinity can be formulate as linear programming, so LINPROG is better.
4 Comments
Matt J
on 14 Nov 2020
The first constraint in Ahmed's addendum is non-convex. It looks difficult to recast that as a linear program.
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