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MathGroup Archive 2012

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An optimization problem

  • To: mathgroup at smc.vnet.net
  • Subject: [mg127510] An optimization problem
  • From: Puya Sharif <puya.sharif at live.com>
  • Date: Mon, 30 Jul 2012 22:14:57 -0400 (EDT)
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Hi all,

I have an optimization task, and I am looking for a method (preferably using Mathematica built in functions and routines) for solving this and similar problems.

Let there be two functions: f1(x1,?,xn,y1,?,yn) and f2(x1,?xn,y1,?,yn).

Maximize f1 with regards to variables x1,?,xn with y1,?,yn fixed at the values that maximizes f2.

Maximize f2 with regards to variables y1,?,yn with x1,?,xn fixed at the values that maximizes f1.

Both functions are continuous, with continuous first, second (higher?) derivatives.


Would be extremely grateful for any hints in the right direction.

Best,
Puya



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