Big-M method

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An alternative to using Phase I, a large number LaTeX: M is used as a linear penalty in the composite objective:

\min \{ c^T x + M \; e^T v: Ax + v = b, \; x, v \ge 0 \},

where LaTeX: v is an artificial variable and LaTeX: e = (1, 1, ..., 1)^T.

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