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pwlf: Piecewise Linearization of Arbitrary First Order Loss Functions
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http://gwr3n.github.io/pwlf/

pwlf provides an implementation of the techniques presented in 

R. Rossi, S. A. Tarim, B. Hnich and S. Prestwich, 
"Piecewise linear lower and upper bounds for the standard normal first order loss function", 
Applied Mathematics and Computation, Elsevier, Vol. 231:489-502, 2014
http://dx.doi.org/10.1016/j.amc.2014.01.019
 
and 

R. Rossi, E.M.T. Hendrix, 
"Computing linearisation parameters of arbitrarily distributed first order loss functions", 
in Proceedings of MAGO'14, XII Global Optimization Workshop (GOW)
https://gwr3n.github.io/chapters/Rossi_et_al_MAGO_2014_2.pdf 
 
to piecewise linearise arbitrary loss functions. 

pwlf is maintained by Roberto Rossi, Full Professor at the University of Edinburgh.