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I have a problem that is almost the typical in linear programming, but not quite. All variables take real non-negative values. Certain simple linear inequalities and equalities should hold. But what does not fit (at least, at first) the typical LP problem is the goal: I want to minimize the number of variables taking strictly positive values.

Is there a trick to handle this as a simple LP problem? Should this be done with mixed integer linear programming? If not, how would you try to solve it?

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  • $\begingroup$ How are the variables defined ? $x_i \in \mathbb R \ \ \forall i$ or $x_i \geq 0 \ \ \forall i$ ? $\endgroup$ – callculus Jul 4 '14 at 22:20
  • $\begingroup$ Variables are non-negative, so $x_i \geq 0$. $\endgroup$ – zeycus Jul 5 '14 at 8:26
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Your problem is actually to minimize $||x||_0$, the so call zero-norm. In general is an NP-Hard problem, so as you said only resemble linear programming in the fact you have linear constraints.

In my understanding, you have two alternatives:

  • you can use binary variables to model the $x$ being zero o not. This is widely use for instance in the unit commitment problem (I guess it is referred to as semi-continuous variables)

  • you can follow nonlinear global optimization approaches.

You can look at http://www.math.unipd.it/~rinaldi/papers/thesis0.pdf and the references therein.

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  • $\begingroup$ thank you, I found in that thesis the exact formulation of my problem, and some references about it. It is truly NP-hard, and the number of variables in my problem is not small, but maybe I can try something. $\endgroup$ – zeycus Jul 5 '14 at 8:47

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