Another user suggested I elaborate on my previous post, giving specifics of the
problem I am trying to solve. Here they are:
It is a selection problem involving sample weights. Say we have applicants
with test scores x. The vector y indicates whether the applicant is a member
of Group Y,
I am seeking an optimization routine that can deal with the following problem:
Maximize g(x), where x is a vector and g is nonlinear, subject to linear
constraints of the form h(x)0 and m(x)=0 and subject to the constraint that
all values of x are 0 or 1.
I can't find a nonlinear optimization
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