An Exact Penalty Method for Constrained, Discrete, Linear $l_\infty $ Data Fitting

This paper presents an algorithm for solving linearly constrained, discrete, linear $l_\infty $ approximation problems which makes use of a penalty linear programming approach. An implementation for small, dense problems has been prepared and tested against two other codes, one published and the other not. Results of this testing are given. The paper is concluded with a short summary.