L1 norm in objective function
AnsweredCan I include L1 norm in the objective function by using Gurobi 9.0.0? Please let me know.
Thanks,
Paresh
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Yes, absolutely. Although we do not have an explicit '\ell1' construct to accommodate the above norm, we have the absolute value helper function, e.g.,
https://www.gurobi.com/documentation/9.0/refman/py_abs_.html
that can be used to get the desired expression. Also note that if you aim to simply minimize the L1 norm expression, you may as well build it yourself as a sequence of convex inequalities that involve auxiliary variables, e.g.,
min x_1
is equivalent to
min t
s.t.
x_i <= y_i,
x_i <= y_i,
\sum_i y_i == t
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