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Sune Gaulshoj
10/10/07 05:01am

Hi,

I have an issue I have piece-wise function f(y) from which I want to maximize the integral according to the weights xs, xc and xp.

I use NIntegrate[f[y], {y, -.5, .5}] to find the integral, but after that I want to find the global constrained maxima of this intrgral according to the variables xs, xc and xp under the constraints that {xs, xc, xp} >= 0 and (xs+xp+xc) < 1. I tried using NMaximize, but I cannot make it work.

Any suggestions?


f[y_] := Piecewise[{{a[y],
y < \[Tau]}, {b[y], \[Tau] <= y <= \[Lambda]}, {c[y],
y > \[Lambda]}}]

where

a[xx_] := (\[Pi]*\[Gamma])^(-1)*(xp*((Subscript[K, P] -
st*Exp[252*xx])/Subscript[BS, P])^(1/252) +
xs*Exp[xx] + (1 - xs - xp - xc)*Exp[r/252])^\[Gamma]*nig[xx]
b[xx_] := (\[Pi]*\[Gamma])^(-1)*(xs*Exp[xx] + (1 - xs - xp - xc)*
Exp[r/252])^\[Gamma]*nig[xx]
c[xx_] := (\[Pi]*\[Gamma])^(-1)*(xc*((st*Exp[252*xx] - Subscript[K,
C])/Subscript[BS, C])^(1/252) +
xs*Exp[xx] + (1 - xs - xp - xc)*Exp[r/252])^\[Gamma]*nig[xx]


Attachment: Model optimization-mathematica forum.nb, URL: Gaulshoj@gmail.com,
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