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How to convert minimize $\| Ax - b \|_\infty$ to an equivalent linear program step by step?

Given this question: $$\text{minimize } \| Ax - b \|_\infty$$ Then this question is equivalent to $\text{minimize } \max |Ax - b|$ = $\text{minimize } \max\limits_i |a_i^Tx - b_i|$ Let $t = |a_i …
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1 vote
1 answer
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How to use MATLAB's Linprog to solve LP model of L1 regression

A L1 regression problem is given as: $\min\limits_{a,b} \sum\limits_{i=1}^n |y_i - ax_i - b|$ It has an equivalent LP model: $\min \sum\limits_{i = 1}^n z_i$ $|y_i - ax_i - b| \leq z_i$ where $z_ …
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