Abstract
The problem of maximizing a convex function on a so-called simple set is considered. Based on the optimality conditions [19], an algorithm for solving the problem is proposed. This numerical algorithm is shown to be convergent. The proposed algorithm has been implemented and tested on a variety of test problems.
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Enhbat, R. An algorithm for maximizing a convex function over a simple set. J Glob Optim 8, 379–391 (1996). https://doi.org/10.1007/BF02403999
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DOI: https://doi.org/10.1007/BF02403999