I am trying to implement a linear constraint that includes several absolute values in the form: Abs(A) + Abs(B) + Abs(C) + Abs(D) + ... = 1
Since the minimization problem includes quite a lot of variables (~100) it is not feasible to implement a linear constraint for each potential +/- combination. Currently I am using ALGLIB with the MINBLEIC Function. Hence, I think it is also not possible to use additional 0/1 indicator variables (i) and to estimate sth. like (2*i-1)*A.
Every help is very much appreciated! Hugo