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by gabrielgoh
2731 days ago
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See the literature on exact penalty methods. I believe the short of it is yes, for a large class of problems this works, but the new problem will not be necessarily easier to solve. In the case of the abs(.) function, the nonlinearity at 0 makes subgradient methods slow, and the large constant in front of the abs(.) might prove numerically unstable. |
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