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

[Anders P. <an...@op...>]

You cannot add constraints on absolute variable values. You have to rethink your model. Optimatika does NOT offer this kind of modelling help as a free service.

/Anders


> On 18 feb 2015, at 19:02, Anthony Edwards <ant...@al...> wrote:
> 
> 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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> 
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