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Sorry if the question is trivial. I have the following optimization problem which I think is not convex because of the binary constraints. But I do not know what is this problem then. Here is the optimization problem.

$$ \text{minimize } ||Ax - b||_2 \\ s.t. \sum\limits_{i=1}^{n} x_i = \ell,\\ x \in \lbrace 0,1\rbrace $$

In fact, the goal is to only select $\ell$ points from $A$, such that the sum of those selected points is close to $b$.

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closed as off-topic by apnorton, Claude Leibovici, user91500, Watson, user223391 Oct 10 '16 at 22:32

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  • $\begingroup$ Your objective is currently a vector-valued function. Do you want to add some norm to that, or is this a multi-objective problem? $\endgroup$ – LinAlg Oct 7 '16 at 21:54
  • $\begingroup$ Thanks for mentioning that. I actually edited the objective function now, minimize L2 norm of $Ax-b$. Any help is appreciated on what is this problem and how to solve it. $\endgroup$ – Erin Oct 7 '16 at 22:13
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It's a mixed-integer second order cone optimization problem. MOSEK is arguably the best solver for this problem. If $\ell$ is small, you could brute-force the solution.

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  • $\begingroup$ Thanks a lot for your response @LinAlg and Beached Whale. I have another question as well. Let's say I consider a relaxed version of this problem by removing the binary constraints. Is this relaxed version a CVX optimization problem? $\endgroup$ – Erin Oct 8 '16 at 17:59
  • $\begingroup$ Yes, that's a second order cone optimization problem (which is convex). MOSEK solves the integer problem by solving a sequence of relaxed problems (with $0\leq x_i\leq1$). $\endgroup$ – LinAlg Oct 8 '16 at 20:14
  • $\begingroup$ What is it exactly? quadratic linear programming? Or semi-definite quadratic? $\endgroup$ – Erin Oct 15 '16 at 22:54
  • $\begingroup$ A second order cone optimization problem (or a convex quadratic optimization problem if you will). $\endgroup$ – LinAlg Oct 16 '16 at 1:20

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