How can the sum of one and infinity norm minimization problem subject to constraints be rewritten as a linear program

convex optimizationlinear programmingoptimization

I have been trying to convert the following problem into a standard LP problem

$$\begin{array}{ll} \text{minimize} & \|x\|_1 + \|x\|_\infty\\ \text{subject to} & A x = b\end{array}$$

I know how to convert the individual norm minimization but how to go about attempting the sum?

Best Answer

Hint:

The problem is equilvalent to: $$\min_x \sum_{i=1}^n \max(x_i, -x_i)+\max(x_1, \ldots, x_n)$$

subject to $$Ax=b$$

How would you rewrite sum of minimax as a linear programming problem.

Remark: $Ax=b$ doesn't affect the main problem of interest. Just copy it down as it is.

Edit:

$$\min \sum_{i=1}^n z_i + t$$

subject to

$$z_i \ge x_i , \forall i \in \{1, \ldots, n\}$$ $$z_i \ge -x_i , \forall i \in \{1, \ldots, n\}$$ $$t \ge x_i , \forall i \in \{1, \ldots, n\}$$ $$t \ge -x_i , \forall i \in \{1, \ldots, n\}$$ $$Ax=b$$

You can also write them in terms of vector form as you have shown in the comment as well.

Related Question