What Optimization Algorithm/Technique Should I Use to Solve This Problem?

Question

I am facing an optimization problem stated below:

Find the values of $x_i$ where $i = 1, ..., 20$ and $0 \leq x_i \leq 1 $,

to maximize $y$:

$$y = \sum_{i = 1}^{20}\theta(1 - \theta)^{20 - i}(\alpha x_i + \beta(1 - x_i))$$

where $\theta \in (0, 1)$ and $\alpha, \beta \in R$

while making sure that

$$\sum_{i = 1}^{t}(1 - x_i) \leq a(\sum_{i = 1}^tx_i - b)_+$$

for any $t \in [1, 20]$, where $a, b \in R$

Could you advice what optimization algorithm/technique should I look into in order to solve this problem? I don't need a complete solution.

@RodrigodeAzevedo I think $(x)_+$ means $max(x, 0)$. Related post — hklel, Sep 08 '17 at 18:45

Johan Löfberg · Accepted Answer · 2017-09-08T18:58:13.560

2

It's a completely standard linear program in the form $\max c^T x$ subject to $Ax \leq b$.

EDIT: I did not see the $()_{+}$ operator. With that, it is not a linear program but a nonconvex problem which at least requires mixed-integer linear programming.

edited Sep 08 '17 at 18:58

answered Sep 08 '17 at 17:51

Johan Löfberg

9,497
1
15
15

Thanks! I was intimidated by the complex form and didn't realize it's a LP problem :/ – hklel Sep 08 '17 at 18:54
Well, unfortunately not, as the new edit now says. – Johan Löfberg Sep 08 '17 at 18:58

What Optimization Algorithm/Technique Should I Use to Solve This Problem?

1 Answers1