[ojAlgo-user] ExpressionsBasedModel and absolute constraints

[Anthony E. <ant...@al...>]

Hi

I am using an expressions based model (for a portfolio optimisation 
problem) and can add a constraint such that the sum of the weights in 
the portfolio is equals to 1 as follows:

Expression balanceExpr = model.addExpression("Balance");
             for (int i=0; i<ers.length; i++) 
balanceExpr.setLinearFactor(i, BigMath.ONE);
             balanceExpr.lower(BigMath.ONE);
             balanceExpr.upper(BigMath.ONE);

What I would like to do is add another constrains such that the sum of 
the absolute values of the weights is less than 2.  Any idea how I can 
do this?  There is no setAbsoluteValueLinearFactor function or any way 
of doing this as far as I can see.

Any pointers would be gratefully appreciated!

Thanks

Tony