![]() Then the objective wj'*(A'*A + beta*I) wj would become r'*r + beta*wj'*wj. For example you could create a new variable r and a constraint r = A*wj. ![]() Note you may want to create variables and constraints to avoid forming A'*A + beta*I in the objective. But you can solve this problem with Gurobi in MATLAB using the following code m = 36000 įor more details see the documentation on Gurobi's MATLAB interface: This structure is relative to the location where you installed IBM ILOG CPLEX Optimization Studio as your COS home, containing your CPLEX home. So we can write your problem as: minimize 0.5*(aj - A*wj)'*(aj - A*wj) + 0.5*beta*wj'*wj + lambda*e'*wĪfter pushing the quadratic terms in the objective together we have the following QP: minimize 0.5*aj'*aj -aj'*A*wj + 0.5*wj'*(A'*A + beta*I)*w + lambda*e'*w After you install IBM ILOG CPLEX Optimization Studio, you find CPLEX in a structure (such as folders or directories) like the one in the illustrations Figure 1 on page 6 and Figure 2 on page 6. Since wj >= 0 we have that ||wj||_1 = e'*wj. When you add the other terms into the objective, your problem becomes a general quadratic program.
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