Hello, I have an optimisation problem with equalities and inequalities.
A x < b is an inequality, with x,b being a vector.
If the problem is infeasible with b, I want to allow b to change to b*, only enough for the problem to be solved and (b*-b) should be heavily punished. This corresponding cost would be k*ϵ, where k = 10^6 for example. Thus, my slack variable is ϵ = b* - b > 0.
How could I formulate this in matlab? I am using quadprog for optimization.