In [1] a somewhat abstract non-convex problem is given:
min
This is a nonconvex objective with some linear constraints. Of course, the best way to attack a problem like this is to do some quick and dirty tests with global solvers designed to handle this type of model. As the constraints are linear, a solver like Cplex or Gurobi may be a good starting point (pun intended).
If you have access to a local NLP solver, it may not always be easy to find a good starting point. One possible approach is to use a multistart algorithm (some NLP solvers, like Baron and Knitro, have this built-in). This will not guarantee to produce a global solution (and often it doesn't), but at least we can prevent really bad solutions. There are some ways to construct a confidence interval, so we can say something probabilistic about the quality of the solution found this way.