On Thursday, March 5, 2015 at 4:52:54 AM UTC-5, Sheehan Olver wrote: > > > Are there any packages that can do L1 minimization? I want to do > something like > > min ||Lx||_1 subject to ||x||_2=1 >
You can always transform the L1 objective into 2N affine inequality constraints, in which case there are a variety of algorithms that can solve this problem (e.g. NLopt can do it, though if N is really large then you want something that can exploit sparsity).
