L1 minimisation for a specific function

10 ビュー (過去 30 日間)
shaon0
shaon0 2013 年 6 月 5 日
Hi, I'm trying to code up the following linear program:
min norm(f(x)-d,1)
So essentially, I'm just trying to minimise the 1-norm of a function, f(x) minus the actual data, y. I've seen online that this problem can be reduced to:
min sum(i=1 to n) g(x[i]) s.t g(x[i])>=f(x[i])-d[i] and -g(x[i])>=f(x[i])-d[i]
So it reduces to a linear program. I'm very new to matlab and I know how to write out the function f(x), I can load the data d vector. But I'm not sure how I would be able to write the linear program in matlab.
Is there a sample code that anyone could provide?
Thank you in advanced.
  1 件のコメント
Matt J
Matt J 2013 年 6 月 5 日
編集済み: Matt J 2013 年 6 月 5 日
The reformulation you show is the right idea, but I don't know why you would have g(x[i]). I think you would just have new variables g(i) independent of x and you would minimize over the combined parameter vector [x;g]. Also, it's not a linear program unless f(x) is linear, because otherwise the constraints are still nonlinear with respect to x. Are you saying that your f(x) is linear?

サインインしてコメントする。

回答 (0 件)

カテゴリ

Help Center および File ExchangeCreating and Concatenating Matrices についてさらに検索

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by