- #1

farooq117

- 6

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min <a,x>-L||x-u||_inf^2

s.t.: ||x||_inf <= R,

where a is a vector of coefficients, x is the vector of decision variables, <.,.> denotes the scalar product, R and L are scalars, u is some constant (known) vector, and 'inf' denotes the infinity norm.

I know how to deal with the situation where the expression is of the type

||x-u||_inf.

But, I do not know how to approach the expression when the infinity norm is squared. I hope someone out there can suggest some ideas, or a book that I can consult, etc.