Re: [eigen] Does anyone know of a good l1-solver? |

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*To*: eigen@xxxxxxxxxxxxxxxxxxx*Subject*: Re: [eigen] Does anyone know of a good l1-solver?*From*: "cr.anil@xxxxxxxxx" <cr.anil@xxxxxxxxx>*Date*: Tue, 17 Apr 2012 18:08:58 +0530*Dkim-signature*: v=1; a=rsa-sha256; c=relaxed/relaxed; d=gmail.com; s=20120113; h=mime-version:in-reply-to:references:date:message-id:subject:from:to :content-type; bh=p0MOXqTC3OGFFqZL9NQfW2ANXIiaWEZ0sVovcEYef8A=; b=Y8cohYyVQySb/ki5yQ9y9BfIq/k/Gn+tVcBzevv4Z2UimwxRx+NHY4+Gb1D/sohvHg mpkzP3GTEH7vgAdWBpIeZg6y/ay3dLk28cjkAoPYlCk5t216N/hVq6yrtWsk0aeAs3Ch +KUreWxmRCRT6l/UN69oyVz6d/yh3erYVAd1cdoYDx3PtHQC14Lof3ZAXvhq8ycJ7Ds3 X4DRSWor2DJwj0Py9zX7dENFLzk6SX7m1IgO8zbGjvp1wcOGBXEBjpI3e2y8A721XCyt lQ3Y2hs4mCstUj8mU/zBg7vC+6oOSUmyEZZA3+OHJmHTc+Q9WscwSb3aPypnkww3XVCF 0eEg==

> Either that, or maybe find x, s.t. ||Ax - b||_1=min ?

>

Yes this is what I want to solve although I want to add a l2 regulariser sometime later to this.

> Do you know anything about A? (sparse, square, symmetric, rank-deficient, ill-conditioned, ...)

>

No. A is a dense matrix and full rank but I do know that it has 6 columns and 3N rows.

> Anyways, afaik, Eigen itself does not provide L1-solvers, so you need to find an external library anyways (or find an algorithm and implement it). It is quite easy to interact with other libraries by using Eigen's Map and .data() functionality.

Hmmm... I thought it would be nice if there was a efficient library which did this since I run the optimisation in a loop.

Also is the primal dual technique the most efficient for this problem? That's what I found in a matlab library called l1 magic.

Anil

**Follow-Ups**:**Re: [eigen] Does anyone know of a good l1-solver?***From:*Márton Danóczy

**References**:**[eigen] Does anyone know of a good l1-solver?***From:*cr.anil@xxxxxxxxx

**Re: [eigen] Does anyone know of a good l1-solver?***From:*Helmut Jarausch

**Re: [eigen] Does anyone know of a good l1-solver?***From:*Markus Moll

**Re: [eigen] Does anyone know of a good l1-solver?***From:*Christoph Hertzberg

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