Optimization: principles and algorithms, by Michel Bierlaire
Functions
nelderMead.m File Reference

Algorithm 15.1: Nelder-Mead algorithm. More...

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Functions

function nelderMead (in obj, in x0, in eps, in maxiter)
 Applies the Nelder-Mead algorithm to solve $\min_x f(x)$ where $f:\mathbb{R}^n\to\mathbb{R}$. More...
 

Detailed Description

Algorithm 15.1: Nelder-Mead algorithm.

Implementation of algorithm 15.1 of [1]

Note
Tested with run1502nelderMead.m
Tested with run1503nelderMead.m
Author
Michel Bierlaire
Date
Sat Mar 21 18:23:57 2015

Definition in file nelderMead.m.

Function Documentation

function nelderMead ( in  obj,
in  x0,
in  eps,
in  maxiter 
)

Applies the Nelder-Mead algorithm to solve $\min_x f(x)$ where $f:\mathbb{R}^n\to\mathbb{R}$.

Parameters
objthe name of the Octave function defining f(x)
x0matrix nx(n+1) containnig the initial simplex
epsalgorithm stops if $\|d_k\| \leq \varepsilon $.
maxitermaximum number of iterations (Default: 100)
Returns
[solution,simplex]: the solution and the final simplex.
Copyright 2015-2016 Michel Bierlaire