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I have this quadratic function $x'Ax$ which is not convex. I want to maximize this function subject to the constraints that the solution x lies in a simplex such that $\sum_{i=1}^{n}x_i=1$. That means the solution lies in a simplex and $x \epsilon [0,1]^n$.

I want to write an iterative procedure to do this. Suggestions?

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    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.2012-12-07
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    yeah concave, I mean it's not concave. How should I proceed?2012-12-07

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