[ojAlgo-user] How do I do this with oj-algo

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

I have an expressions based model and would like to add a constraint 
such that the sum of the absolute values of the variables is set to a 
specific value/level. How do I formulate this in oj-algo?  IOve been 
looking at this for a while and cant see how to actually formulate this 
in terms of an expression I can add to the model ....

Any help very much appreciated!

Thanks

Tony


On 16/02/15 13:11, Anders Peterson wrote:
> This is a modelling question not directly related to ojAlgo, Strictly speaking you're off topic for this mailing list, but I'm leaning towards allowing it if the discussion context is "how do I do this with ojAlgo". I will however only participate if the discussion leads to more concrete questions regarding ojAlgo.
>
> /Anders
>
>
>
>> On 16 feb 2015, at 13:01, Anthony Edwards <ant...@al...> wrote:
>>
>> 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
>>
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>
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