I am trying to write a linear program and need a variable z that equals the sign of x-c, where x is another variable, and c is a constant.
I considered z = (x-c)/|x-c|. Unfortunately, if x=c, then this creates division by 0.
I cannot use z=x-c, because I don't want to weight it by the magnitude of the difference between x and c.
Does anyone know of a good way to express z so that it is the sign of x-c?
Thank you for any help and suggestions!
You can't model z = sign(x-c) exactly with a linear program (because the constraints in an LP are restricted to linear combinations of variables).
However, you can model sign if you are willing to convert your linear program into a mixed integer program, you can model this with the following two constraints:
L*b <= x - c <= U*(1-b)
z = 1 - 2*b
Where b is a binary variable, and L and U are lower and upper bounds on the quantity x-c. If b = 0, we have 0 <= x - c <= U and z = 1. If b = 1, we have L <= x - c <= 0 and z = 1 - 2*1 = -1.
You can use a solver like Gurobi to solve mixed integer programs.
For k » 1 this is a smooth approximation of the sign function:
Also
when ε → 0
These two approximations haven't the division by 0 issue but now you must tune a parameter.
In some languages (e.g. C++ / C) you can simply write something like this:
double sgn(double x)
{
return (x > 0.0) - (x < 0.0);
}
Anyway consider that many environments / languages already have a sign function, e.g.
Pay close attention to what happens when x is equal to 0 (e.g. the Fortran function will return 1, with other languages you'll get 0).
