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!