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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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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_ …