I’m trying to solve an optimisation problem where I want to count the number of nonzeros in the x variable in order to attach cost to this.
However, the solution variables for x are never exactly 0, which results in the nnz() function not working.
In cvx the following replacements do not work, does anyone know a way around this?
To provide an idea of the objective function:
minimize (sum(c'*x) + nnz(x)*300 + sum(-q.*(pb(1)*(y(:,1)) + pb(2)*(y(:,2)) + pb(3)*(y(:,3)))) );
Hopefully someone can help me!