Hello:
I have been trying to program the following maximization problem and would
definitely welcome some help.
the target function: sum_{i} f(alpha, beta'X_{i}),
where alpha and beta are unknown d-dim parameter,
f is a known function an X_{i} are i.i.d. r.v.
I need to maximize the above sum, under the constaint that:
beta'X_{i}+alpha<=1, for i=1,...,n.
For one dimension, it is kind of trivial. What should I do with high
dimensional alpha and beta? Thanks for your time,
Shuangge Ma, Ph.D.
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