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07/26/12 09:55am

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.

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