[Ipopt] Absolute value constraint

[Peter Carbonetto]

That's because the absolute value is not differentiable near zero, and in 
IPOPT continuous differentiability is assumed.

Check out the book "Convex Optimization" by Boyd and Vandenberghe. It will 
have some suggestions on how to deal with your problem.

> When I add a constraint involving absolute value to my problem it no 
> longer converges. For example
>  
> sum(abs(xi)) <= U
> 
> Can anybody help me code a constraint that the optimiser can work with?

Peter Carbonetto
Ph.D. Candidate
Dept. of Computer Science
University of British Columbia