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Maximum optimization problem
Posted:
Dec 13, 2010 12:52 PM


W[theta_] := bench + (theta[[1]] me + theta[[2]] btm + theta[[3]] mom) ; WplusTemp[theta_] := WaitAll[Map[Composition[ParallelSubmit, Max[0, #] &], W[theta], {2}]]; Wplus[theta_] := WplusTemp[theta]/Total[WplusTemp[theta], {2}]; rp[theta_] := Simplify[Total[Wplus[theta], {2}]]; eu[theta_] := Mean[((1 + rp[theta])^4/4)]; thetainit = theta /. Maximize[eu[theta], {thetame, thetabtm,thetamom}][[2]];
Hi everyone! I just started to use mathematica and to write in this blog. I apologize for every possible mistake.
I need to maximize a function eu that is the mean of other functions I build as you can see above. I don't know the interval in which the maximum is, as a consequence the maximize operation is very slow. Me, btm, bench, mom are N x M matrixes of known values. Theta[1], theta[2] and theta[3] are the three variables of the problem (the three variables the eu function depends on). Another critical problem is due to the Max function that could not be executed until the result of maximization is given. I would like to ask if it is possible to get the code faster, considering the Max functions and that I don't know the starting interval for the Maximize function.
Thank you for you attention and for your help!



