$$\begin{array}{ll} \text{maximize} & x'Ax\\ \text{subject to} & \sum_{i=1}^{n}x_i = 1\\ & x \in [0,1]^n\end{array}$$
where the objective is not concave. I want to write an iterative procedure to do this. Suggestions?
$$\begin{array}{ll} \text{maximize} & x'Ax\\ \text{subject to} & \sum_{i=1}^{n}x_i = 1\\ & x \in [0,1]^n\end{array}$$
where the objective is not concave. I want to write an iterative procedure to do this. Suggestions?