In this paper, we discuss several algorithms for scheduling divisible workloads on heterogeneous systems. Our main contributions are (i) new optimality results for single-round algorithms and (ii) the design of an asymptotically optimal multi-round algorithm. This multi-round algorithm automatically performs resource selection, a difficult task that was previously left to the user. Because it is periodic, it is simpler to implement, and more robust to changes in the speeds of the processors and/or communication links. On the theoretical side, to the best of our knowledge, this is the first published result assessing the absolute performance of a multi-round algorithm. On the practical side, extensive simulations reveal that our multi-round algorithm outperforms existing solutions on a large variety of platforms, especially when the communication-to-computation ratio is not very high (the difficult case).