$$\begin{array}{ll} \text{maximize} & x'Ax\\ \text{subject to} & \sum_{i=1}^{n}x_i = 1\\ & x \in [0,1]^n\end{array}$$
where the objective is not concave. I want to write an iterative procedure to do this. Suggestions?
Asked
Active
Viewed 903 times
2
Rodrigo de Azevedo
- 23,788
user34790
- 4,462
-
Do you mean the objective is not concave? That's the kind of objective you want when you're maximizing. If so, I think this will be tricky. Any iterative procedure is likely to find a local maximum, not a global maximum. – Mike Spivey Dec 07 '12 at 18:46
-
yeah concave, I mean it's not concave. How should I proceed? – user34790 Dec 07 '12 at 19:24