TITLE: Linear programming: Maximize minimum of linear functions
QUESTION [9 upvotes]: For a project I need something solved, it screams linear programming.
If I get the problem in "standard" form I should be able to solve it using the simplex method. But I don't see how to get it in standard form. The problem is this:
Maximize $$min(f_1(\lambda),...,f_p(\lambda))$$
s.t $\sum \lambda_i=1,\lambda_i \geq 0$
where $\lambda=(\lambda_1,...,\lambda_n)$ and $f_i$ linear.
Help or direction to a good source would be much appreciated!

REPLY [8 votes]: This is a basic case of optimiation problem easy to be cast as a linear one, you can find it in any textbook.
$\max t$
$ t\leq f_i(\lambda),\quad i=1...$
$\sum \lambda_i = 1$
$\lambda_i\geq 0, \quad i=1...$